Del i serien Classics in Applied Mathematics

Time Series

Data Analysis and Theory

Häftad, Engelska, 2001

1 179 kr

Tillfälligt slut

Intended for students and researchers, this text employs basic techniques of univariate and multivariate statistics for the analysis of time series and signals. It provides a broad collection of theorems, placing the techniques on firm theoretical ground. The techniques, which are illustrated by data analyses, are discussed in both a heuristic and a formal manner, making the book useful for both the applied and the theoretical worker. An extensive set of original exercises is included.Time Series: Data Analysis and Theory takes the Fourier transform of a stretch of time series data as the basic quantity to work with and shows the power of that approach. It considers second- and higher-order parameters and estimates them equally, thereby handling non-Gaussian series and nonlinear systems directly. The included proofs, which are generally short, are based on cumulants.

Produktinformation

Utgivningsdatum2001-09-30
Mått152 x 229 x 28 mm
Vikt772 g
FormatHäftad
SpråkEngelska
SerieClassics in Applied Mathematics
Antal sidor560
FörlagSociety for Industrial & Applied Mathematics,U.S.
ISBN9780898715019

Tillhör följande kategorier

Preface to the Classics EditionPreface to the Expanded EditionPreface to the First EditionChapter 1: The Nature of Time Series and Their Frequency AnalysisChapter 2: FoundationsChapter 3: Analytic Properties of Fourier Transforms and Complex MatricesChapter 4: Stochastic Properties of Finite Fourier TransformsChapter 5: The Estimation of Power SpectraChapter 6: Analysis of a Linear Time Invariant Relation Between a Stochastic Series and Several Deterministic SeriesChapter 7: Estimating the Second-Order Spectra of Vector-Valued SeriesChapter 8: Analysis of a Linear Time Invariant Relation Between Two Vector-Valued Stochastic SeriesChapter 9: Principal Components in the Frequency DomainChapter 10: The Canonical Analysis of Time SeriesProofs of TheoremsReferencesNotation IndexAuthor IndexSubject IndexAddendum: Fourier Analysis of Stationary Processes.