An Introduction to Bispectral Analysis and Bilinear Time Series Models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer US
1984
|
| Schriftenreihe: | Lecture Notes in Statistics
24 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | The theory of time series models has been well developed over the last thirt,y years. Both the frequenc.y domain and time domain approaches have been widely used in the analysis of linear time series models. However. many physical phenomena cannot be adequately represented by linear models; hence the necessity of nonlinear models and higher order spectra. Recently a number of nonlinear models have been proposed. In this monograph we restrict attention to one particular nonlinear model. known as the "bilinear model". The most interesting feature of such a model is that its second order covariance analysis is ve~ similar to that for a linear model. This demonstrates the importance of higher order covariance analysis for nonlinear models. For bilinear models it is also possible to obtain analytic expressions for covariances. spectra. etc. which are often difficult to obtain for other proposed nonlinear models. Estimation of bispectrum and its use in the construction of tests for linearit,y and symmetry are also discussed. All the methods are illustrated with simulated and real data. The first author would like to acknowledge the benefit he received in the preparation of this monograph from delivering a series of lectures on the topic of bilinear models at the University of Bielefeld. Ecole Normale Superieure. University of Paris (South) and the Mathematisch Cen trum. Ams terdam |
| Beschreibung: | 1 Online-Ressource (VIII, 280 p) |
| ISBN: | 9781468463187 9780387960395 |
| ISSN: | 0930-0325 |
| DOI: | 10.1007/978-1-4684-6318-7 |
Internformat
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Datensatz im Suchindex
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| author | Rao, T. Subba |
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| author_variant | t s r ts tsr |
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| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5 |
| dewey-search | 519.5 |
| dewey-sort | 3519.5 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/978-1-4684-6318-7 |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:08Z |
| institution | BVB |
| isbn | 9781468463187 9780387960395 |
| issn | 0930-0325 |
| language | English |
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| spelling | Rao, T. Subba Verfasser aut An Introduction to Bispectral Analysis and Bilinear Time Series Models by T. Subba Rao, M. M. Gabr New York, NY Springer US 1984 1 Online-Ressource (VIII, 280 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Statistics 24 0930-0325 The theory of time series models has been well developed over the last thirt,y years. Both the frequenc.y domain and time domain approaches have been widely used in the analysis of linear time series models. However. many physical phenomena cannot be adequately represented by linear models; hence the necessity of nonlinear models and higher order spectra. Recently a number of nonlinear models have been proposed. In this monograph we restrict attention to one particular nonlinear model. known as the "bilinear model". The most interesting feature of such a model is that its second order covariance analysis is ve~ similar to that for a linear model. This demonstrates the importance of higher order covariance analysis for nonlinear models. For bilinear models it is also possible to obtain analytic expressions for covariances. spectra. etc. which are often difficult to obtain for other proposed nonlinear models. Estimation of bispectrum and its use in the construction of tests for linearit,y and symmetry are also discussed. All the methods are illustrated with simulated and real data. The first author would like to acknowledge the benefit he received in the preparation of this monograph from delivering a series of lectures on the topic of bilinear models at the University of Bielefeld. Ecole Normale Superieure. University of Paris (South) and the Mathematisch Cen trum. Ams terdam Statistics Statistics, general Statistik Spektralanalyse Stochastik (DE-588)4056125-2 gnd rswk-swf Bilineares Zeitreihenmodell (DE-588)4145512-5 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Bilineares Zeitreihenmodell (DE-588)4145512-5 s 1\p DE-604 Zeitreihenanalyse (DE-588)4067486-1 s 2\p DE-604 Spektralanalyse Stochastik (DE-588)4056125-2 s 3\p DE-604 Gabr, M. M. Sonstige oth https://doi.org/10.1007/978-1-4684-6318-7 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Rao, T. Subba An Introduction to Bispectral Analysis and Bilinear Time Series Models Statistics Statistics, general Statistik Spektralanalyse Stochastik (DE-588)4056125-2 gnd Bilineares Zeitreihenmodell (DE-588)4145512-5 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4056125-2 (DE-588)4145512-5 (DE-588)4067486-1 |
| title | An Introduction to Bispectral Analysis and Bilinear Time Series Models |
| title_auth | An Introduction to Bispectral Analysis and Bilinear Time Series Models |
| title_exact_search | An Introduction to Bispectral Analysis and Bilinear Time Series Models |
| title_full | An Introduction to Bispectral Analysis and Bilinear Time Series Models by T. Subba Rao, M. M. Gabr |
| title_fullStr | An Introduction to Bispectral Analysis and Bilinear Time Series Models by T. Subba Rao, M. M. Gabr |
| title_full_unstemmed | An Introduction to Bispectral Analysis and Bilinear Time Series Models by T. Subba Rao, M. M. Gabr |
| title_short | An Introduction to Bispectral Analysis and Bilinear Time Series Models |
| title_sort | an introduction to bispectral analysis and bilinear time series models |
| topic | Statistics Statistics, general Statistik Spektralanalyse Stochastik (DE-588)4056125-2 gnd Bilineares Zeitreihenmodell (DE-588)4145512-5 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Statistics Statistics, general Statistik Spektralanalyse Stochastik Bilineares Zeitreihenmodell Zeitreihenanalyse |
| url | https://doi.org/10.1007/978-1-4684-6318-7 |
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