Modern Spectrum Analysis Of Time Series

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Modern Spectrum Analysis of Time Series

Author : Prabhakar S. Naidu
Publisher : CRC Press
ISBN 13 : 9780849324642
Total Pages : 424 pages
Book Rating : 4.3/5 (246 download)

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Book Synopsis Modern Spectrum Analysis of Time Series by : Prabhakar S. Naidu

Download or read book Modern Spectrum Analysis of Time Series written by Prabhakar S. Naidu and published by CRC Press. This book was released on 1995-10-25 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spectrum analysis can be considered as a topic in statistics as well as a topic in digital signal processing (DSP). This book takes a middle course by emphasizing the time series models and their impact on spectrum analysis. The text begins with elements of probability theory and goes on to introduce the theory of stationary stochastic processes. The depth of coverage is extensive. Many topics of concern to spectral characterization of Gaussian and non-Gaussian time series, scalar and vector time series are covered. A section is devoted to the emerging areas of non-stationary and cyclostationary time series. The book is organized more as a textbook than a reference book. Each chapter includes many examples to illustrate the concepts described. Several exercises are included at the end of each chapter. The level is appropriate for graduate and research students.

Modern Spectrum Analysis

Author : Donald G. Childers
Publisher : IEEE Computer Society Press
ISBN 13 :
Total Pages : 348 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis Modern Spectrum Analysis by : Donald G. Childers

Download or read book Modern Spectrum Analysis written by Donald G. Childers and published by IEEE Computer Society Press. This book was released on 1978 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Spectral Analysis of Time Series

Author : Lambert Herman Koopmans
Publisher :
ISBN 13 :
Total Pages : 390 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis The Spectral Analysis of Time Series by : Lambert Herman Koopmans

Download or read book The Spectral Analysis of Time Series written by Lambert Herman Koopmans and published by . This book was released on 1974 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Spectral Analysis of Time Series ...

Spectral Analysis of Time-series Data

Author : Rebecca M. Warner
Publisher : Guilford Press
ISBN 13 : 9781572303386
Total Pages : 244 pages
Book Rating : 4.3/5 (33 download)

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Book Synopsis Spectral Analysis of Time-series Data by : Rebecca M. Warner

Download or read book Spectral Analysis of Time-series Data written by Rebecca M. Warner and published by Guilford Press. This book was released on 1998-05-22 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Spectral Analysis of Time Series

Author : L. H. Koopmans
Publisher : Academic Press
ISBN 13 : 1483218546
Total Pages : 383 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis The Spectral Analysis of Time Series by : L. H. Koopmans

Download or read book The Spectral Analysis of Time Series written by L. H. Koopmans and published by Academic Press. This book was released on 2014-05-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Singular Spectrum Analysis for Time Series

Author : Nina Golyandina
Publisher : Springer Science & Business Media
ISBN 13 : 3642349137
Total Pages : 126 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Singular Spectrum Analysis for Time Series by : Nina Golyandina

Download or read book Singular Spectrum Analysis for Time Series written by Nina Golyandina and published by Springer Science & Business Media. This book was released on 2013-01-19 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Singular spectrum analysis (SSA) is a technique of time series analysis and forecasting combining elements of classical time series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA seeks to decompose the original series into a sum of a small number of interpretable components such as trend, oscillatory components and noise. It is based on the singular value decomposition of a specific matrix constructed upon the time series. Neither a parametric model nor stationarity are assumed for the time series. This makes SSA a model-free method and hence enables SSA to have a very wide range of applicability. The present book is devoted to the methodology of SSA and shows how to use SSA both safely and with maximum effect. Potential readers of the book include: professional statisticians and econometricians, specialists in any discipline in which problems of time series analysis and forecasting occur, specialists in signal processing and those needed to extract signals from noisy data, and students taking courses on applied time series analysis.

Modern Spectrum Analysis

Author : Donald G. Childers
Publisher :
ISBN 13 :
Total Pages : 334 pages
Book Rating : 4.:/5 (487 download)

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Book Synopsis Modern Spectrum Analysis by : Donald G. Childers

Download or read book Modern Spectrum Analysis written by Donald G. Childers and published by . This book was released on 1978 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Singular Spectrum Analysis

Author : J.B. Elsner
Publisher : Springer Science & Business Media
ISBN 13 : 1475725140
Total Pages : 167 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Singular Spectrum Analysis by : J.B. Elsner

Download or read book Singular Spectrum Analysis written by J.B. Elsner and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term singular spectrum comes from the spectral (eigenvalue) decomposition of a matrix A into its set (spectrum) of eigenvalues. These eigenvalues, A, are the numbers that make the matrix A -AI singular. The term singular spectrum analysis· is unfortunate since the traditional eigenvalue decomposition involving multivariate data is also an analysis of the singular spectrum. More properly, singular spectrum analysis (SSA) should be called the analysis of time series using the singular spectrum. Spectral decomposition of matrices is fundamental to much the ory of linear algebra and it has many applications to problems in the natural and related sciences. Its widespread use as a tool for time series analysis is fairly recent, however, emerging to a large extent from applications of dynamical systems theory (sometimes called chaos theory). SSA was introduced into chaos theory by Fraedrich (1986) and Broomhead and King (l986a). Prior to this, SSA was used in biological oceanography by Colebrook (1978). In the digi tal signal processing community, the approach is also known as the Karhunen-Loeve (K-L) expansion (Pike et aI., 1984). Like other techniques based on spectral decomposition, SSA is attractive in that it holds a promise for a reduction in the dimen- • Singular spectrum analysis is sometimes called singular systems analysis or singular spectrum approach. vii viii Preface sionality. This reduction in dimensionality is often accompanied by a simpler explanation of the underlying physics.

Time Series Analysis and Its Applications

Author : Robert H. Shumway
Publisher : Springer
ISBN 13 : 3319524526
Total Pages : 567 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Time Series Analysis and Its Applications by : Robert H. Shumway

Download or read book Time Series Analysis and Its Applications written by Robert H. Shumway and published by Springer. This book was released on 2017-04-25 with total page 567 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Analysis of Time Series Structure

Author : Nina Golyandina
Publisher : CRC Press
ISBN 13 : 9781420035841
Total Pages : 322 pages
Book Rating : 4.0/5 (358 download)

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Book Synopsis Analysis of Time Series Structure by : Nina Golyandina

Download or read book Analysis of Time Series Structure written by Nina Golyandina and published by CRC Press. This book was released on 2001-01-23 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 15 years, singular spectrum analysis (SSA) has proven very successful. It has already become a standard tool in climatic and meteorological time series analysis and well known in nonlinear physics and signal processing. However, despite the promise it holds for time series applications in other disciplines, SSA is not widely known among statisticians and econometrists, and although the basic SSA algorithm looks simple, understanding what it does and where its pitfalls lay is by no means simple. Analysis of Time Series Structure: SSA and Related Techniques provides a careful, lucid description of its general theory and methodology. Part I introduces the basic concepts, and sets forth the main findings and results, then presents a detailed treatment of the methodology. After introducing the basic SSA algorithm, the authors explore forecasting and apply SSA ideas to change-point detection algorithms. Part II is devoted to the theory of SSA. Here the authors formulate and prove the statements of Part I. They address the singular value decomposition (SVD) of real matrices, time series of finite rank, and SVD of trajectory matrices. Based on the authors' original work and filled with applications illustrated with real data sets, this book offers an outstanding opportunity to obtain a working knowledge of why, when, and how SSA works. It builds a strong foundation for successfully using the technique in applications ranging from mathematics and nonlinear physics to economics, biology, oceanology, social science, engineering, financial econometrics, and market research.

Spectral Analysis of Economic Time Series. (PSME-1)

Author : Clive William John Granger
Publisher : Princeton University Press
ISBN 13 : 1400875528
Total Pages : 318 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Spectral Analysis of Economic Time Series. (PSME-1) by : Clive William John Granger

Download or read book Spectral Analysis of Economic Time Series. (PSME-1) written by Clive William John Granger and published by Princeton University Press. This book was released on 2015-12-08 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Spectral Analysis for Univariate Time Series

Author : Donald B. Percival
Publisher : Cambridge University Press
ISBN 13 : 1108776175
Total Pages : 718 pages
Book Rating : 4.1/5 (87 download)

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Book Synopsis Spectral Analysis for Univariate Time Series by : Donald B. Percival

Download or read book Spectral Analysis for Univariate Time Series written by Donald B. Percival and published by Cambridge University Press. This book was released on 2020-03-19 with total page 718 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spectral analysis is widely used to interpret time series collected in diverse areas. This book covers the statistical theory behind spectral analysis and provides data analysts with the tools needed to transition theory into practice. Actual time series from oceanography, metrology, atmospheric science and other areas are used in running examples throughout, to allow clear comparison of how the various methods address questions of interest. All major nonparametric and parametric spectral analysis techniques are discussed, with emphasis on the multitaper method, both in its original formulation involving Slepian tapers and in a popular alternative using sinusoidal tapers. The authors take a unified approach to quantifying the bandwidth of different nonparametric spectral estimates. An extensive set of exercises allows readers to test their understanding of theory and practical analysis. The time series used as examples and R language code for recreating the analyses of the series are available from the book's website.

Spectral Analysis and Time Series, Two-Volume Set

Author : M. B. Priestley
Publisher : Academic Press
ISBN 13 :
Total Pages : 972 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Spectral Analysis and Time Series, Two-Volume Set by : M. B. Priestley

Download or read book Spectral Analysis and Time Series, Two-Volume Set written by M. B. Priestley and published by Academic Press. This book was released on 1982 with total page 972 pages. Available in PDF, EPUB and Kindle. Book excerpt: Enth.: Univariate series ; Multivariate series, prediction and control.

Spectral Analysis for Physical Applications

Author : Donald B. Percival
Publisher : Cambridge University Press
ISBN 13 : 9780521435413
Total Pages : 616 pages
Book Rating : 4.4/5 (354 download)

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Book Synopsis Spectral Analysis for Physical Applications by : Donald B. Percival

Download or read book Spectral Analysis for Physical Applications written by Donald B. Percival and published by Cambridge University Press. This book was released on 1993-06-03 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an up-to-date introduction to univariate spectral analysis at the graduate level, 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. Spectral analysis finds extensive application in the analysis of data arising in many of the physical sciences, ranging from electrical engineering and physics to geophysics and oceanography. A valuable feature of the text is that many examples are given showing the application of spectral analysis to real data sets. Special emphasis is placed on the multitaper technique, because of its practical success in handling spectra with intricate structure, and its power to handle data with or without spectral lines. The text contains a large number of exercises, together with an extensive bibliography.

Time Series in the Frequency Domain

Author : David R. Brillinger
Publisher :
ISBN 13 :
Total Pages : 510 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Time Series in the Frequency Domain by : David R. Brillinger

Download or read book Time Series in the Frequency Domain written by David R. Brillinger and published by . This book was released on 1983 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. This volume of the Handbook is concerned particularly with the frequency side, or spectrum, approach to time series analysis. This approach involves essential use of sinusoids and bands of (angular) frequency, with Fourier transforms playing an important role. A principal activity is thinking of systems, their inputs, outputs, and behavior in sinusoidal terms. In many cases, the frequency side approach turns out to be simpler with respect to computational, mathematical, and statistical aspects. In the frequency approach, an assumption of stationarity is commonly made. However, the essential roles played by the techniques of complex demodulation and seasonal adjustment show that stationarity is far from being a necessary condition. Assumptions of Gaussianity and linearity are also commonly made and yet, as a variety of the papers illustrate, these assumptions are not necessary. This volume complements Handbook of Statistics 5: Time Series in the

Time Series

Author : David R. Brillinger
Publisher : SIAM
ISBN 13 : 0898715016
Total Pages : 556 pages
Book Rating : 4.8/5 (987 download)

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Book Synopsis Time Series by : David R. Brillinger

Download or read book Time Series written by David R. Brillinger and published by SIAM. This book was released on 2001-09-01 with total page 556 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text employs basic techniques of univariate and multivariate statistics for the analysis of time series and signals.

The Analysis of Time Series

Author : Chris Chatfield
Publisher : CRC Press
ISBN 13 : 0203491688
Total Pages : 349 pages
Book Rating : 4.2/5 (34 download)

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Book Synopsis The Analysis of Time Series by : Chris Chatfield

Download or read book The Analysis of Time Series written by Chris Chatfield and published by CRC Press. This book was released on 2016-03-30 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.