Time Series with Mixed Spectra

Time Series with Mixed Spectra

Filling this void, Time Series with Mixed Spectra focuses on the methods and theory for the stati

Author: Ta-Hsin Li

Publisher: CRC Press

ISBN: 9781420010060

Category: Mathematics

Page: 680

View: 917

Time series with mixed spectra are characterized by hidden periodic components buried in random noise. Despite strong interest in the statistical and signal processing communities, no book offers a comprehensive and up-to-date treatment of the subject. Filling this void, Time Series with Mixed Spectra focuses on the methods and theory for the statistical analysis of time series with mixed spectra. It presents detailed theoretical and empirical analyses of important methods and algorithms. Using both simulated and real-world data to illustrate the analyses, the book discusses periodogram analysis, autoregression, maximum likelihood, and covariance analysis. It considers real- and complex-valued time series, with and without the Gaussian assumption. The author also includes the most recent results on the Laplace and quantile periodograms as extensions of the traditional periodogram. Complete in breadth and depth, this book explains how to perform the spectral analysis of time series data to detect and estimate the hidden periodicities represented by the sinusoidal functions. The book not only extends results from the existing literature but also contains original material, including the asymptotic theory for closely spaced frequencies and the proof of asymptotic normality of the nonlinear least-absolute-deviations frequency estimator.
Categories: Mathematics

A New Approach to Time Series with Mixed Spectra

A New Approach to Time Series with Mixed Spectra

For two or more time series with spectral density functions of the same structure ,
this result does not in general hold . 1 . 3 . Examples of Time Series with Mixed
Spectra . Before exploring their properties further , we shall first see how time ...

Author: George Ronald Hext

Publisher:

ISBN: STANFORD:36105025628632

Category: Time-series analysis

Page: 450

View: 132

The time series considered have jumps in their spectral distribution function; that is, the series is the sum of a 'signal' component, comprising a finite linear sum of pure sine-waves, and a 'noise' component, having continuous spectral density function. Given a set of observations from such a time series the primary problem is to estimate the 'signal' frequencies, the power in each component of the signal, and the 'noise' spectral density at these frequencies. The essence of the method used is as follows. For a given set of observations from such a series, and for each frequency that might yield a signal component, several estimates of the spectral density are made, using spectral windows of different bandwidths. To a first approximation, the noise component of the estimate is the same for every window, while the part of the estimate due to the signal is inversely proportional to the bandwidth of the window. Thus using a regression technique, one can separate the signal power from the noise spectral density at the given frequency and estimate these two quantities. These ideas are developed as follows. After a historical introduction, the early part of the thesis is devoted to the 'probability' aspects of the problem. First some results are proved that apply to the 'noise' series or any stationary time series. They give extensions and refinements of early approximations for the expected value of the spectral estimate, and for the covariance between two spectral estimates; these include the rates at which the limiting values are attained.
Categories: Time-series analysis

Scientific and Technical Aerospace Reports

Scientific and Technical Aerospace Reports

... 17 p3370 N66-30259 Time series with mixed spectra signal power and noise
spectral density studies ( AROD - 2025-16 ) 17 p3371 N66-30664 Methods for
exact linear prediction of stationary time series by least squares method 20
p3946 ...

Author:

Publisher:

ISBN: OSU:32435027927987

Category: Aeronautics

Page:

View: 170

Categories: Aeronautics

Workshop on Higher Order Spectral Analysis

Workshop on Higher Order Spectral Analysis

( 11 ] Priestley , M. B. ( 1981 ) , Spectral Analysis and Time Series , Vols . ...
analysis of Seiche record , J. Marine Research , 13 , 76100 . a of 19 ] Priestley ,
M. B. ( 1962a ) , The analysis stationary processes with mixed spectra - I , J.R.
Statist .

Author:

Publisher:

ISBN: UCSD:31822003785268

Category: Signal processing

Page: 254

View: 580

Categories: Signal processing

The Spectral Analysis of Time Series

The Spectral Analysis of Time Series

In fact , this serves as a useful theoretical criterion for distinguishing between time
series with continuous and discrete or mixed spectra . However , it is possible
that | C ( 7 ) | goes to zero so slowly that the usual inversion methods fail . This is
 ...

Author: Lambert Herman Koopmans

Publisher:

ISBN: UOM:39015013038479

Category: Mathematics

Page: 366

View: 487

The Spectral Analysis of Time Series ...
Categories: Mathematics

Working Paper Bureau of the Census

Working Paper   Bureau of the Census

The Spectral Analysis of Economic Time Series , " Bureau of the Census Working
Paper No. ... Estimation of Parameters in Time Series Regression Models , " J.
Roy . Stat . ... The Analysis of Stationary Processes with Mixed Spectra I " , J. Roy
.

Author: United States. Bureau of the Census

Publisher:

ISBN: STANFORD:36105009879441

Category:

Page:

View: 657

Categories:

Spectral Analysis and Time Series Multivariate series prediction and control

Spectral Analysis and Time Series  Multivariate series  prediction and control

9.7.1 Two - dimensional Mixed Spectra In Chapter 8 we referred briefly to the
multidimensional version of the mixed spectra problem , and pointed out that the
types of discontinuities which could arise were more complicated than in the one
 ...

Author: Maurice Bertram Priestley

Publisher:

ISBN: MINN:31951000028016A

Category: Mathematics

Page: 890

View: 371

Categories: Mathematics

Journal of the American Statistical Association

Journal of the American Statistical Association

... periodogram of a time series. An asymptotic analysis reveals a connection
between the Laplace periodogram and the zero-crossing spectrum. ... We also
discuss its usefulness for time series of mixed spectra. Finally, we provide a real-
data ...

Author:

Publisher:

ISBN: STANFORD:36105131553427

Category: Statistics

Page:

View: 641

Categories: Statistics

The Spectral Analysis of Time Series

The Spectral Analysis of Time Series

Koopmans L.H., 1974, The Spectral Analysis of Time Series (Academic Press,
London). Koževnikova I.A. ... Priestley M.B., 1962, The analysis of stationary
processes with mixed spectra, J. Royal Statistical Society B24 511–529. Rabiner
L.R. ...

Author: I. G. Žurbenko

Publisher: North Holland

ISBN: UCSD:31822002388981

Category: Mathematics

Page: 247

View: 537

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.
Categories: Mathematics

Proceedings of the Berkeley Symposium on Mathematical Statistics and Probability

Proceedings of the Berkeley Symposium on Mathematical Statistics and Probability

spectra, we must distinguish two general cases: the observed time series are
jointly covariance stationary with absolutely continuous spectrum and have: (1)
zero means, (2) possibly nonzero means. We call the second case the mixed ...

Author: Jerzy Neyman

Publisher:

ISBN: UCSD:31822023355365

Category: Mathematical statistics

Page:

View: 162

Categories: Mathematical statistics

Analysis of Economic Time Series

Analysis of Economic Time Series

A new approach to time series with mixed spectra . ” Unpublished Ph . D .
dissertation , Stanford Univ . Hicks , J . R . ( 1939 ) . Value and Capital , 1st ed .
London and New York : Oxford Univ . Press . Holt , C . C . , Modigliani , F . , Muth ,
J . F .

Author: Marc Nerlove

Publisher:

ISBN: MINN:31951000984437F

Category: Economics

Page: 468

View: 511

In this edition which has been reprinted with corrections, Nerlove and his co-authors illustrate techniques of spectral analysis and methods based on parametric models in the analysis of economic time series. The book provides a means and a method for incorporating economic intuition and theory in the formulation of time-series models useful in forecasting, in the formulation and estimation of distributed lag models, and in other applications, such as seasonal adjustment. Analysis of Economic Time Series is a useful primary text for graduate students and an attractive reference for researchers. Key Features * Presents a self-contained treatment of Fourier Analysis and complex variables, as well as Spectral Analysis of time series * Includes a detailed treatment of unobserved-components (UC) models and their time-series properties by means of covariance-generating transforms * Provides the formulation and maximum-likelihood estimation of ARMA and UC models in both time and frequency domains Integrates several topics in time-series analysis: * The formulation and estimation of distributed-lag models of dynamic economic behavior * The application of the techniques of spectral analysis in the study of behavior of economic time series * Unobserved-components models for economic time series and the closely related problem of seasonal adjustment * The complimentarities between time-domain and frequency-domain approaches to the analysis of economic time series * Historical contributions extending from the time of Charles Babbage and the Edinburgh Review to the present * Treats spectral analysis and Box-Jenkins models for an intuitive but rigorous point of view * Shows how these two types of analysis may be synthesized so that they complement one another * Describes a new type of model, based on a superposition of Box-Jenkins models, that captures the essential idea of the unobserved-components models long used in the analysis of economic time series * Applies multiple time-series techniques to the estimation of a novel dynamic model of the US cattle industry
Categories: Economics

International Journal of forecasting

International Journal of forecasting

determination of periodicities from the periodogram has implicitly implied that any
spectral lines occur at Fourier frequencies , this may be problematic for small
sample ... Semiparametric Bayesian inference for time series with mixed spectra .

Author:

Publisher:

ISBN:

Category:

Page:

View: 397

Categories:

Journal of the Indian Statistical Association

Journal of the Indian Statistical Association

FOR DISCRIMINATION BETWEEN DISCRETE , CONTINUOUS AND MIXED
SPECTRA OF A STATIONARY TIME SERIES J. Medhi and T. Subba Rao1
Gauhati University SUMMARY The applicability of the sequential and non -
sequential test ...

Author: Indian Statistical Association

Publisher:

ISBN: CHI:11727494

Category: Mathematical statistics

Page:

View: 664

Categories: Mathematical statistics

Cross Spectral Distribution Theory for Mixed Spectra and Estimation of Prediction Filter Coefficients

Cross Spectral Distribution Theory for Mixed Spectra and Estimation of Prediction Filter Coefficients

CROSS SPECTRAL DISTRIBUTION THEORY FOR MIXED SPECTRA AND
ESTIMATION OF PREDICTION FILTER ... Secondly , an approximate distribution
theory of the sample coefficient of coherence , when the time series have
sinusoidal ...

Author: Grace Wahba

Publisher:

ISBN: STANFORD:36105025630125

Category: Distribution (Probability theory)

Page: 204

View: 838

Categories: Distribution (Probability theory)

The Econometrics of Price Determination

The Econometrics of Price Determination

Box , G . E . P . , and Jenkins , G . M . Time Series Analysis , Forecasting and
Control . ... The Typical Spectral Shape of an Economic Variable , ” Econometrica
, Vol . ... Hext , George R . " A New Approach to Time Series with Mixed Spectra .

Author: Board of Governors of the Federal Reserve System (U.S.)

Publisher:

ISBN: STANFORD:36105005318295

Category: Econometrics

Page: 397

View: 771

Categories: Econometrics

Applications of Time Series Analysis in Astronomy and Meteorology

Applications of Time Series Analysis in Astronomy and Meteorology

Minimum distance approach in parametric estimation 103-18 Mixed spectra
grouped periodogram test 85-6 Hannan's test 83-4 P ( 2 ) test 81-3 relationship
between Hannan's estimate and P ( 2 ) 84-5 Whittle's test 79–81 Modelling of
data ...

Author: T. Subba Rao

Publisher: Chapman and Hall/CRC

ISBN: UCSC:32106013622391

Category: Mathematics

Page: 465

View: 885

Very Good,No Highlights or Markup,all pages are intact.
Categories: Mathematics

Bulletin

Bulletin

INFERENCE FOR TIME SERIES WITH MIXED SPECTRUM Shean - Tsong CHIU
, Rice University , Houston . The old and important problem of estimating the
discontinuous ( mixed ) spectrum of a series containing periodic components is ...

Author:

Publisher:

ISBN: UCAL:B4022902

Category:

Page:

View: 294

Categories:

Multivariate Statistical Analysis

Multivariate Statistical Analysis

There are , however , times when it is important to distinguish between this
concept of a mixed spectrum and the ... The detection of discrete mass , or a
close approximation thereof , in the cross - spectrum of two time series is a signal
to search ...

Author: R. P. Gupta

Publisher: Amsterdam : North-Holland

ISBN: UOM:39015015728606

Category: Analyse multivariée - Congrès

Page: 289

View: 170

Tests of multiple correlation with additional data; On D-, E-, DA- and DM - optimality properties of test procedures of hypotheses concerning the covariance matrix of a normal distribution; Scaling of multi-dimensional contingency tables by union-intersection; The negative binomial point process and its inference; Tests of location based on principal components; Invariant polynomials with matrix arguments and their applications; A nonparametric method to discriminate two populations; Some methods of searching for outliers; On a multivariate statistical classification model; Some applications of conditional expectation minimization theory to psychological tests; An application of the singular normal distribution in linear models; Asymptotic distribution ofquantiles from a multivariate distribution; Distributional properties of certain tests for detection of discrete mass in cross-spectra of multivariate time series; The effects of elliptical distribution on some standard procedures involving correlation coefficients: a review ...
Categories: Analyse multivariée - Congrès

Modern Spectral Analysis with Geophysical Applications

Modern Spectral Analysis with Geophysical Applications

It seeks to compare : ( 1 ) Spectral approaches to finding relations among time
series , ( 2 ) Time domain or innovation ... of efficient estimation of the parameters
of moving average and mixed scheme models for time series ; ( 2 ) to compare ...

Author: Markus Båth

Publisher:

ISBN: UOM:39015050444218

Category: Geophysics

Page: 530

View: 803

Categories: Geophysics