Fourier Time Series: Breaking Down Data Into Sines & Cosines

[islandtrader]

Hi,
I have a question regarding Fourier Series. I have a random set of time series data. Is there anyway to break this down into sines and cosines. From the literature I have read it seems like you can break down a function into sines and cosines but I need to do this for a random set of data or is this even possible(limitations of a Fourier Series). Any help on how to start on this will be greatly appreciated.

 

[marcusl]

Yes you can do it and each spectral component (set of coefficients) will also be random.

 

[marcusl]

I found a nice online Fourier series demonstrator

http://www.falstad.com/fourier/"

You can select random noise and display the sine and cosine parts (unfortunately the scale factor is small), or display it in magnitude/phase with a log view.