The Spectral Analysis of Time Series

Released on by L. H. Koopmans
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  • The Spectral Analysis of Time Series Book Detail

  • Author : L. H. Koopmans
  • Release Date : 2014-05-12
  • Publisher : Academic Press
  • Genre : Mathematics
  • Pages : 383
  • ISBN 13 : 1483218546
  • File Size : 3,3 MB
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The Spectral Analysis of Time Series by L. H. Koopmans PDF Summary

Book Description: 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.

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The Spectral Analysis of Time Series

The Spectral Analysis of Time Series

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The Spectral Analysis of Time Series describes the techniques and theory of the frequency domain analysis of time series. The book discusses the physical proces

The Spectral Analysis of Time Series

The Spectral Analysis of Time Series

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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 unders

Singular Spectrum Analysis for Time Series

Singular Spectrum Analysis for Time Series

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This book gives an overview of singular spectrum analysis (SSA). SSA is a technique of time series analysis and forecasting combining elements of classical time