Time series in the frequency domain:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
North-Holland
1983
|
| Schriftenreihe: | Handbook of statistics
3 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 485 S. graph. Darst. |
| ISBN: | 0444867260 |
Internformat
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| 245 | 1 | 0 | |a Time series in the frequency domain |c ed. by D. R. Brillinger ... |
| 264 | 1 | |a Amsterdam [u.a.] |b North-Holland |c 1983 | |
| 300 | |a XIV, 485 S. |b graph. Darst. | ||
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Datensatz im Suchindex
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|---|---|
| adam_text | Table of Contents Preface v Contributors xiii Ch. 1. Wiener Filtering (with emphasis on frequency-domain approaches) JR. J. Bhansali and D. Karavellas 1. 2. 3. 4. 5. 6. Introduction 1 Derivation of the filter transfer function and the filter coefficients 2 Realization of the Wiener filter in some special cases 7 Estimation of the Wiener filter 9 Asymptotic properties of the estimated filter coefficients 12 A simulation study 15 References 18 Ch. 2. The Finite Fourier Transform of a Stationary Process D. R. Brillinger 1. 2. 3. 4. 5. 6. Introduction 21 Central limit theorems 26 Direct estimation of second-order spectra 28 Linear models 29 Parametric models 32 Other topics 33 Appendix 35 References 36 Ch. 3. Seasonal and Calendar Adjustment W. S. Cleveland 1. Introduction 39 2. Methods for seasonal adjustment 47 vii 39 21 1
viii Table of contents 3. Calendar adjustment 55 4. Graphics for seasonal and calendar adjustment 60 5. Spectrum analysis 65 References 70 Ch. 4. Optimal Inference in the Frequency Domain R. B. Davies 1. 2. 3. 4. 73 Introduction 73 Theory of asymptotic inference 74 Inference in the frequency domain 82 Summary and example 89 References 91 Ch. 5. Applications of Spectral Analysis in Econometrics 93 C. W. J. Granger and R. Engle 1. 2. 3. 4. 5. 6. 7. 8. Beginnings 93 Applications of the power spectrum 94 Application of the cross spectrum 96 Evaluation of seasonal adjustment procedures 99 Spectral regression 100 Frequency-domain factor analysis 103 Advanced techniques 104 Conclusions 106 References 106 Ch. 6. Signal Estimation E. J. Hannan 111 1. Introduction 111 2. Regression problems 113 3. Delay estimation 116 Bibliographic Notes 122 References 123 Ch. 7. Complex Demodulation: Some Theory and Applications T. Hasan 1. 2. 3. 4. Introduction 125 Basics of complex demodulation 126 Statistical properties 132 A class of amplitude modulated cosinusoids References 155 148 125
Table of contents Ch. 8. Estimating the Gain of A Linear Filter from Noisy Data M. J. Hinich 1. 2. 3. 4. 5. Introduction 157 Linear filters 157 Estimating the phase and gain of the transfer function Use of the Hilbert transform 161 Numerical approximations 162 Estimating the log gain 164 Appendix 166 References 167 Ch. 9. A Spectral Analysis Primer L. H. Koopmans 1. 2. 3. 4. 5. 6. 7. 8. 169 Introduction 169 A historical perspective 169 The time-series model 171 Spectral representations 173 The different types of spectra 175 Spectra and linear filters 175 Spectral parameters for bivariate time series Spectra of multidimensional processes 181 References 183 179 Ch. 10. Robust-Resistant Spectral Analysis R. D. Martin 1. 2. 3. 4. 5. 6. 7. 158 185 Introduction 185 Time-series outliers and nonnormality 187 Autoregressive spectral density estimates 196 Smoothed periodogram estimates 199 Robustness-resistance properties of the spectrum estimate 209 An example 212 Concluding remarks 217 References 217 Ch. 11. Autoregressive Spectral Estimation E. Parzen 221 Introduction 221 1. Correlation and spectral functions of a stationary time series 222 2. Filter models of a short-memory stationary time series 225 3. Entropy interpretation of autoregressive spectral densities 228 157
Table of contents x 4. 5. 6. 7. 8. Parametrizations of autoregressive spectral estimators 233 Empirical autoregressive spectral estimation 234 Autoregressive order determination 238 Suggestions for empirical spectral analysis 239 A bibliography of autoregressive spectral estimation 242 References 243 Ch. 12. Threshold Autoregression and Some Frequency-Domain Characteristics 249 J. Pemberton and H. Tong 1. 2. 3. 4. 5. Introduction 249 Some motivation 250 A simplest TAR model 252 Some generalisation and some frequency-domain characteristics 255 Diagnostic checks of SETAR models from frequency-domain viewpoint 266 References 272 Ch. 13. The Frequency-Domain Approach to the Analysis of Closed-Loop Systems 275 M. B. Priestley 1. 2. 3. 4. 5. 6. 7. Introduction 275 Identification of linear systems 276 Closed-loop systems: Basic assumptions and notation 278 Conditions on the transfer function 280 Estimation of the system transfer function (A) 280 The case of linear feedback plus noise 286 Numerical estimation of the system transfer function and noise structure 287 Summary 290 References 290 Ch. 14. The Bispectral Analysis of Nonlinear Stationary Time Series with Reference to Bilinear Time-Series Models 293 T. Subba Rao 1. 2. 3. 4. 5. 6. 7. 8. Introduction 293 Stationary time series and second-order spectral analysis 293 Second-order covariance and spectral analysis of linear time-series models 294 Bilinear time-series models and second-order spectral analysis 297 Volterra series expansion of VBL(p) model 301 Spectral and bispectral density functions and their estimation 303
Bispectral analysis of the bilinear time-series model BL(1,0,1,1) 308 Tests for departure from linearity and Gaussianity 310 Conclusions 318 References 318
xi Table of contents Ch. 15. Frequency-Domain Analysis of Multidimensional Time-Series Data 321 E. A. Robinson 1. 2. 3. 4. 5. 6. 7. 8. 9. Introduction 321 The wave equation 322 Frequency-domain analysis 323 The distributed source model in seismic exploration 327 Migration of seismic data 330 One-dimensional migration 331 Two-dimensional migration 335 Two-dimensional example 338 Concluding remarks 342 References 342 Ch. 16. Review of Various Approaches to Power Spectrum Estimation P. Μ. Robinson 1. 2. 3. 4. Introduction 343 Quadratic spectrum estimators 350 Nonquadratic spectrum estimators 356 Spectrum estimation from incomplete data 359 References 365 Ch. 17. Cumulants and Cumulant Spectra Μ. Rosenblatt 1. 2. 3. 4. 5. 6. 343 369 Introduction 369 Definition 369 Spectra 371 Spectral estimates 375 Nonlinear systems 378 Non-Gaussian linear processes and phase information 379 Applications 381 References 381 Ch. 18. Replicated Time-Series Regression: An Approach to Signal Estimation and Detection 383 R. H. Shumway 1. 2. 3. 4. 5. Introduction 383 Estimation of the regression functions 386 Tests of hypotheses in the frequency domain 390 Applications to signal detection 396 Discussion 405 References 406
Table of contents xii Ch. 19. Computer Programming of Spectrum Estimation 409 T. Thrall 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. Introduction 409 Two methods of estimation 411 Fast Fourier transform (FFT) algorithms 417 Tapering and padding the data 419 Variance approximations 423 Bandwidths and degrees of freedom 425 Prefiltering and recoloring 428 Trend removal 431 Missing values 432 Other problems in spectrum estimation and computation 435 References 436 Ch. 20. Likelihood Ratio Tests on Covariance Matrices and Mean Vectors of Complex Multivariate Normal Populations and their Applications in Time Series 439 P. R. Krishnaiah, J. C. Lee and T. C. Chang 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. Introduction 439 Complex multivariate normal and complex Wishart distributions 440 Distribution of the determinant of the complex multivariate beta matrix 441 Test for independence of sets of variates 442 Test for sphericity 444 Test specifying the covariance matrix 445 Test for multiple homogeneity of the covariance matrices 445 Simultaneous tests for the homogeneity of populations 447 Test specifying the values of the covariance matrix and mean vector 449 Applications in time series in the frequency domain 450 Appendix 456 References 475 Subject Index 477 Contents of Previous Volumes 483
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| isbn | 0444867260 |
| language | English |
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| spelling | Time series in the frequency domain ed. by D. R. Brillinger ... Amsterdam [u.a.] North-Holland 1983 XIV, 485 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Handbook of statistics 3 Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Brillinger, David R. 1937- Sonstige (DE-588)122230353 oth Handbook of statistics 3 (DE-604)BV000002510 3 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=000090630&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Time series in the frequency domain Handbook of statistics Zeitreihenanalyse (DE-588)4067486-1 gnd |
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| title | Time series in the frequency domain |
| title_auth | Time series in the frequency domain |
| title_exact_search | Time series in the frequency domain |
| title_full | Time series in the frequency domain ed. by D. R. Brillinger ... |
| title_fullStr | Time series in the frequency domain ed. by D. R. Brillinger ... |
| title_full_unstemmed | Time series in the frequency domain ed. by D. R. Brillinger ... |
| title_short | Time series in the frequency domain |
| title_sort | time series in the frequency domain |
| topic | Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Zeitreihenanalyse Aufsatzsammlung |
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