John W. Tukey's work on time series and spectrum analysis

Abstract

The contributions of John W. Tukey to time series analysis, particularly spectrum analysis, are reviewed and discussed. The contributions include: methods, their properties, terminology, popularization, philosophy, applications and education. Much of Tukey's early work on spectrum analysis remained unpublished for many years, but the 1959 book by Blackman and Tukey made his approach accessible to a wide audience. In 1965 the Cooley-Tukey paper on the Fast Fourier Transform spurred a rapid change in signal processing. That year serves as a boundary between the two main parts of this article, a chronological review of JWT's contributions, decade by decade. The time series work of Tukey and others led to the appearance of kernel and nonparametric estimation in mainstream statistics and to the recognition of the consequent difficulties arising in naive uses of the techniques.