*Probability and Mathematical Statistics*

**Author**: L. H. Koopmans

**Publisher:**Academic Press

**ISBN:**1483218546

**Category:**Mathematics

**Page:**382

**View:**1718

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# Search Results for: the-spectral-analysis-of-time-series

*Probability and Mathematical Statistics*

**Author**: L. H. Koopmans

**Publisher:** Academic Press

**ISBN:** 1483218546

**Category:** Mathematics

**Page:** 382

**View:** 1718

The Spectral Analysis of Time Series describes the techniques and theory of the frequency domain analysis of time series. The book discusses the physical processes and the basic features of models of time series. The central feature of all models is the existence of a spectrum by which the time series is decomposed into a linear combination of sines and cosines. The investigator can used Fourier decompositions or other kinds of spectrals in time series analysis. The text explains the Wiener theory of spectral analysis, the spectral representation for weakly stationary stochastic processes, and the real spectral representation. The book also discusses sampling, aliasing, discrete-time models, linear filters that have general properties with applications to continuous-time processes, and the applications of multivariate spectral models. The text describes finite parameter models, the distribution theory of spectral estimates with applications to statistical inference, as well as sampling properties of spectral estimates, experimental design, and spectral computations. The book is intended either as a textbook or for individual reading for one-semester or two-quarter course for students of time series analysis users. It is also suitable for mathematicians or professors of calculus, statistics, and advanced mathematics.

**Author**: Lambert H. Koopmans

**Publisher:** Elsevier

**ISBN:** 9780080541563

**Category:** Mathematics

**Page:** 366

**View:** 5159

To tailor time series models to a particular physical problem and to follow the working of various techniques for processing and analyzing data, one must understand the basic theory of spectral (frequency domain) analysis of time series. This classic book provides an introduction to the techniques and theories of spectral analysis of time series. In a discursive style, and with minimal dependence on mathematics, the book presents the geometric structure of spectral analysis. This approach makes possible useful, intuitive interpretations of important time series parameters and provides a unified framework for an otherwise scattered collection of seemingly isolated results. The books strength lies in its applicability to the needs of readers from many disciplines with varying backgrounds in mathematics. It provides a solid foundation in spectral analysis for fields that include statistics, signal process engineering, economics, geophysics, physics, and geology. Appendices provide details and proofs for those who are advanced in math. Theories are followed by examples and applications over a wide range of topics such as meteorology, seismology, and telecommunications. Topics covered include Hilbert spaces; univariate models for spectral analysis; multivariate spectral models; sampling, aliasing, and discrete-time models; real-time filtering; digital filters; linear filters; distribution theory; sampling properties ofspectral estimates; and linear prediction. Hilbert spaces univariate models for spectral analysis multivariate spectral models sampling, aliasing, and discrete-time models real-time filtering digital filters linear filters distribution theory sampling properties of spectral estimates linear prediction

**Author**: Lambert Herman Koopmans

**Publisher:** N.A

**ISBN:** 9780124192515

**Category:** Mathematics

**Page:** 366

**View:** 1816

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*Probability and Mathematical Statistics*

**Author**: L. H. Koopmans

**Publisher:** Academic Press

**ISBN:** 1483218546

**Category:** Mathematics

**Page:** 382

**View:** 7714

The Spectral Analysis of Time Series describes the techniques and theory of the frequency domain analysis of time series. The book discusses the physical processes and the basic features of models of time series. The central feature of all models is the existence of a spectrum by which the time series is decomposed into a linear combination of sines and cosines. The investigator can used Fourier decompositions or other kinds of spectrals in time series analysis. The text explains the Wiener theory of spectral analysis, the spectral representation for weakly stationary stochastic processes, and the real spectral representation. The book also discusses sampling, aliasing, discrete-time models, linear filters that have general properties with applications to continuous-time processes, and the applications of multivariate spectral models. The text describes finite parameter models, the distribution theory of spectral estimates with applications to statistical inference, as well as sampling properties of spectral estimates, experimental design, and spectral computations. The book is intended either as a textbook or for individual reading for one-semester or two-quarter course for students of time series analysis users. It is also suitable for mathematicians or professors of calculus, statistics, and advanced mathematics.

**Author**: Rebecca M. Warner

**Publisher:** Guilford Press

**ISBN:** 9781572303386

**Category:** Social Science

**Page:** 225

**View:** 9717

This book provides a thorough introduction to methods for detecting and describing cyclic patterns in time-series data. It is written both for researchers and students new to the area and for those who have already collected time-series data but wish to learn new ways of understanding and presenting them. Facilitating the interpretation of observations of behavior, physiology, mood, perceptual threshold, social indicator variables, and other responses, the book focuses on practical applications and requires much less mathematical background than most comparable texts. Using real data sets and currently available software (SPSS for Windows), the author employs extensive examples to clarify key concepts. Topics covered include research design issues, preliminary data screening, identification and description of cycles, summary of results across time series, and assessment of relations between time series. Also considered are theoretical questions, problems of interpretation, and potential sources of artifact.

**Author**: C. W. J. Granger,Michio Hatanaka

**Publisher:** N.A

**ISBN:** 9780691651323

**Category:** Business & Economics

**Page:** 318

**View:** 4902

The important data of economics are in the form of time series; therefore, the statistical methods used will have to be those designed for time series data. New methods for analyzing series containing no trends have been developed by communication engineering, and much recent research has been devoted to adapting and extending these methods so that they will be suitable for use with economic series. This book presents the important results of this research and further advances the application of the recently developed Theory of Spectra to economics. In particular, Professor Hatanaka demonstrates the new technique in treating two problems-business cycle indicators, and the acceleration principle existing in department store data. Originally published in 1964. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.

**Author**: Jon Cunnyngham

**Publisher:** N.A

**ISBN:** N.A

**Category:** Time-series analysis

**Page:** 88

**View:** 2355

**Author**: I. G. Žurbenko

**Publisher:** North Holland

**ISBN:** N.A

**Category:** Mathematics

**Page:** 247

**View:** 991

Examined in this volume are the asymptotic properties of spectral estimates of stationary processes and random fields. A new class of lag window estimates indifferent to remote frequencies is introduced and pseudorandom sequences are investigated from the point of view of their nearness to the sequence of white noise. Principles and algorithms are given for constructing an ideal sequence. A good achievement is the new estimates of higher spectral density asymptotically unbiased and consistent for all admissible values of the argument. A new type of the random number generator which is sufficiently close to white noise is introduced.
*An Introduction*

**Author**: Eugene Lukacs

**Publisher:** Academic Press

**ISBN:** 1483269205

**Category:** Mathematics

**Page:** 254

**View:** 3898

Probability and Mathematical Statistics: An Introduction provides a well-balanced first introduction to probability theory and mathematical statistics. This book is organized into two sections encompassing nine chapters. The first part deals with the concept and elementary properties of probability space, and random variables and their probability distributions. This part also considers the principles of limit theorems, the distribution of random variables, and the so-called student’s distribution. The second part explores pertinent topics in mathematical statistics, including the concept of sampling, estimation, and hypotheses testing. This book is intended primarily for undergraduate statistics students.
*With R Examples*

**Author**: Robert H. Shumway,David S. Stoffer

**Publisher:** Springer

**ISBN:** 3319524526

**Category:** Mathematics

**Page:** 562

**View:** 7600

The fourth edition of this popular graduate textbook, like its predecessors, presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using nontrivial data illustrate solutions to problems such as discovering natural and anthropogenic climate change, evaluating pain perception experiments using functional magnetic resonance imaging, and monitoring a nuclear test ban treaty. The book is designed as a textbook for graduate level students in the physical, biological, and social sciences and as a graduate level text in statistics. Some parts may also serve as an undergraduate introductory course. Theory and methodology are separated to allow presentations on different levels. In addition to coverage of classical methods of time series regression, ARIMA models, spectral analysis and state-space models, the text includes modern developments including categorical time series analysis, multivariate spectral methods, long memory series, nonlinear models, resampling techniques, GARCH models, ARMAX models, stochastic volatility, wavelets, and Markov chain Monte Carlo integration methods. This edition includes R code for each numerical example in addition to Appendix R, which provides a reference for the data sets and R scripts used in the text in addition to a tutorial on basic R commands and R time series. An additional file is available on the book’s website for download, making all the data sets and scripts easy to load into R.

**Author**: Petrus M.T. Broersen

**Publisher:** Springer Science & Business Media

**ISBN:** 1846283299

**Category:** Technology & Engineering

**Page:** 298

**View:** 4550

Spectral analysis requires subjective decisions which influence the final estimate and mean that different analysts can obtain different results from the same stationary stochastic observations. Statistical signal processing can overcome this difficulty, producing a unique solution for any set of observations but that is only acceptable if it is close to the best attainable accuracy for most types of stationary data. This book describes a method which fulfils the above near-optimal-solution criterion, taking advantage of greater computing power and robust algorithms to produce enough candidate models to be sure of providing a suitable candidate for given data.

**Author**: Donald B. Percival,Andrew T. Walden

**Publisher:** Cambridge University Press

**ISBN:** 9780521435413

**Category:** Mathematics

**Page:** 583

**View:** 5277

This book is an up-to-date introduction to univariate spectral analysis aimed at graduate students, which reflects a new scientific awareness of spectral complexity, as well as the widespread use of spectral analysis on digital computers with considerable computational power. The text provides theoretical and computational guidance on the available techniques, emphasizing those that work in practice. It gives equal weight to both algorithms and statistical theory and is valuable for the many examples it gives showing the application of spectral analysis to real data sets. The book is unique in placing special emphasis on the multitaper technique, which can successfully handle spectra with intricate structure and data with or without spectral lines. The text contains a large number of exercises.
*The Missing Data Case*

**Author**: Yanwei Wang,Jian Li,Petre Stoica

**Publisher:** Morgan & Claypool Publishers

**ISBN:** 1598290010

**Category:** Technology & Engineering

**Page:** 102

**View:** 3270

Spectral estimation is important in many fields including astronomy, meteorology, seismology, communications, economics, speech analysis, medical imaging, radar, sonar, and underwater acoustics. Most existing spectral estimation algorithms are devised for uniformly sampled complete-data sequences. However, the spectral estimation for data sequences with missing samples is also important in many applications ranging from astronomical time series analysis to synthetic aperture radar imaging with angular diversity. For spectral estimation in the missing-data case, the challenge is how to extend the existing spectral estimation techniques to deal with these missing-data samples. Recently, nonparametric adaptive filtering based techniques have been developed successfully for various missing-data problems. Collectively, these algorithms provide a comprehensive toolset for the missing-data problem based exclusively on the nonparametric adaptive filter-bank approaches, which are robust and accurate, and can provide high resolution and low sidelobes. In this book, we present these algorithms for both one-dimensional and two-dimensional spectral estimation problems.
*A New Tool in Time Series Analysis*

**Author**: J.B. Elsner,A.A. Tsonis

**Publisher:** Springer Science & Business Media

**ISBN:** 9780306454721

**Category:** Business & Economics

**Page:** 164

**View:** 5564

This original new text provides an easily accessible introduction to this important new topic in time series analysis. The authors emphasize examples over theoretical explanations and the need for proper and careful statistical tests in the context of data exploration. The book's focus is on the application of the method in signal detection, filtering, and prediction. Instructors and students will appreciate the step-by-step presentation of underlying ideas.

**Author**: Maurice Bertram Priestley

**Publisher:** N.A

**ISBN:** N.A

**Category:** Spectral theory (Mathematics)

**Page:** N.A

**View:** 3704

*An Introduction*

**Author**: Peter Bloomfield

**Publisher:** John Wiley & Sons

**ISBN:** 0471653993

**Category:** Mathematics

**Page:** 288

**View:** 4546

A new, revised edition of a yet unrivaled work on frequency domain analysis Long recognized for his unique focus on frequency domain methods for the analysis of time series data as well as for his applied, easy-to-understand approach, Peter Bloomfield brings his well-known 1976 work thoroughly up to date. With a minimum of mathematics and an engaging, highly rewarding style, Bloomfield provides in-depth discussions of harmonic regression, harmonic analysis, complex demodulation, and spectrum analysis. All methods are clearly illustrated using examples of specific data sets, while ample exercises acquaint readers with Fourier analysis and its applications. The Second Edition: Devotes an entire chapter to complex demodulation Treats harmonic regression in two separate chapters Features a more succinct discussion of the fast Fourier transform Uses S-PLUS commands (replacing FORTRAN) to accommodate programming needs and graphic flexibility Includes Web addresses for all time series data used in the examples An invaluable reference for statisticians seeking to expand their understanding of frequency domain methods, Fourier Analysis of Time Series, Second Edition also provides easy access to sophisticated statistical tools for scientists and professionals in such areas as atmospheric science, oceanography, climatology, and biology.
*An Introduction, Sixth Edition*

**Author**: Chris Chatfield

**Publisher:** CRC Press

**ISBN:** 9780203491683

**Category:** Mathematics

**Page:** 352

**View:** 5174

Since 1975, The Analysis of Time Series: An Introduction has introduced legions of statistics students and researchers to the theory and practice of time series analysis. With each successive edition, bestselling author Chris Chatfield has honed and refined his presentation, updated the material to reflect advances in the field, and presented interesting new data sets. The sixth edition is no exception. It provides an accessible, comprehensive introduction to the theory and practice of time series analysis. The treatment covers a wide range of topics, including ARIMA probability models, forecasting methods, spectral analysis, linear systems, state-space models, and the Kalman filter. It also addresses nonlinear, multivariate, and long-memory models. The author has carefully updated each chapter, added new discussions, incorporated new datasets, and made those datasets available for download from www.crcpress.com. A free online appendix on time series analysis using R can be accessed at http://people.bath.ac.uk/mascc/TSA.usingR.doc. Highlights of the Sixth Edition: A new section on handling real data New discussion on prediction intervals A completely revised and restructured chapter on more advanced topics, with new material on the aggregation of time series, analyzing time series in finance, and discrete-valued time series A new chapter of examples and practical advice Thorough updates and revisions throughout the text that reflect recent developments and dramatic changes in computing practices over the last few years The analysis of time series can be a difficult topic, but as this book has demonstrated for two-and-a-half decades, it does not have to be daunting. The accessibility, polished presentation, and broad coverage of The Analysis of Time Series make it simply the best introduction to the subject available.
*Parametric, Non-Parametric and Advanced Methods*

**Author**: Francis Castanié

**Publisher:** John Wiley & Sons

**ISBN:** 1118601831

**Category:** Mathematics

**Page:** 400

**View:** 4141

Digital Spectral Analysis provides a single source that offers complete coverage of the spectral analysis domain. This self-contained work includes details on advanced topics that are usually presented in scattered sources throughout the literature. The theoretical principles necessary for the understanding of spectral analysis are discussed in the first four chapters: fundamentals, digital signal processing, estimation in spectral analysis, and time-series models. An entire chapter is devoted to the non-parametric methods most widely used in industry. High resolution methods are detailed in a further four chapters: spectral analysis by stationary time series modeling, minimum variance, and subspace-based estimators. Finally, advanced concepts are the core of the last four chapters: spectral analysis of non-stationary random signals, space time adaptive processing: irregularly sampled data processing, particle filtering and tracking of varying sinusoids. Suitable for students, engineers working in industry, and academics at any level, this book provides a rare complete overview of the spectral analysis domain.

**Author**: D. S. G. Pollock

**Publisher:** Academic Press

**ISBN:** 9780125609906

**Category:** Technology & Engineering

**Page:** 733

**View:** 8770

The aim of this book is to serve as a graduate text and reference in time series analysis and signal processing, two closely related subjects that are the concern of a wide range of disciplines, such as statistics, electrical engineering, mechanical engineering and physics. The book provides a CD-ROM containing codes in PASCAL and C for the computer procedures printed in the book. It also furnishes a complete program devoted to the statistical analysis of time series, which will be attractive to a wide range of academics working in diverse mathematical disciplines.

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