Spectral Analysis of Time Series.

One use of spectral analysis of time series is to determine if two different time series are realizations from the same process. This thesis develops the theory behind Krishnaiah and Schuurmanns theoretical work reported in their report Approximations to the Distributions of the Traces of Complex Multivariate Beta and F Matrices. We take the trace of a test statistic calculated from the spectral density matrices of the time series and test it. The thesis applies the theory to two small sample simulations. Author