Modern Spectrum Analysis Of Time Series

Author : Prabhakar S. Naidu
Publisher : CRC Press
ISBN 13 : 9780849324642
Total Pages : 424 pages
Book Rating : 4.45/5 ( download)

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Download or read book Modern Spectrum Analysis of Time Series written by Prabhakar S. Naidu and published by CRC Press. This book was released on 1995-10-25 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spectrum analysis can be considered as a topic in statistics as well as a topic in digital signal processing (DSP). This book takes a middle course by emphasizing the time series models and their impact on spectrum analysis. The text begins with elements of probability theory and goes on to introduce the theory of stationary stochastic processes. The depth of coverage is extensive. Many topics of concern to spectral characterization of Gaussian and non-Gaussian time series, scalar and vector time series are covered. A section is devoted to the emerging areas of non-stationary and cyclostationary time series. The book is organized more as a textbook than a reference book. Each chapter includes many examples to illustrate the concepts described. Several exercises are included at the end of each chapter. The level is appropriate for graduate and research students.

Author : Donald G. Childers
Publisher : IEEE Computer Society Press
ISBN 13 :
Total Pages : 348 pages
Book Rating : 4.52/5 ( download)

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Download or read book Modern Spectrum Analysis written by Donald G. Childers and published by IEEE Computer Society Press. This book was released on 1978 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Nina Golyandina
Publisher : CRC Press
ISBN 13 : 9781420035841
Total Pages : 322 pages
Book Rating : 4.43/5 ( download)

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Download or read book Analysis of Time Series Structure written by Nina Golyandina and published by CRC Press. This book was released on 2001-01-23 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 15 years, singular spectrum analysis (SSA) has proven very successful. It has already become a standard tool in climatic and meteorological time series analysis and well known in nonlinear physics and signal processing. However, despite the promise it holds for time series applications in other disciplines, SSA is not widely known among statisticians and econometrists, and although the basic SSA algorithm looks simple, understanding what it does and where its pitfalls lay is by no means simple. Analysis of Time Series Structure: SSA and Related Techniques provides a careful, lucid description of its general theory and methodology. Part I introduces the basic concepts, and sets forth the main findings and results, then presents a detailed treatment of the methodology. After introducing the basic SSA algorithm, the authors explore forecasting and apply SSA ideas to change-point detection algorithms. Part II is devoted to the theory of SSA. Here the authors formulate and prove the statements of Part I. They address the singular value decomposition (SVD) of real matrices, time series of finite rank, and SVD of trajectory matrices. Based on the authors' original work and filled with applications illustrated with real data sets, this book offers an outstanding opportunity to obtain a working knowledge of why, when, and how SSA works. It builds a strong foundation for successfully using the technique in applications ranging from mathematics and nonlinear physics to economics, biology, oceanology, social science, engineering, financial econometrics, and market research.

Author : Lambert Herman Koopmans
Publisher :
ISBN 13 :
Total Pages : 390 pages
Book Rating : 4.79/5 ( download)

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Download or read book The Spectral Analysis of Time Series written by Lambert Herman Koopmans and published by . This book was released on 1974 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Spectral Analysis of Time Series ...

Author : Donald G. Childers
Publisher :
ISBN 13 :
Total Pages : 334 pages
Book Rating : 4.63/5 ( download)

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Download or read book Modern Spectrum Analysis written by Donald G. Childers and published by . This book was released on 1978 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Nina Golyandina
Publisher : Springer Nature
ISBN 13 : 3662624362
Total Pages : 156 pages
Book Rating : 4.64/5 ( download)

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Download or read book Singular Spectrum Analysis for Time Series written by Nina Golyandina and published by Springer Nature. This book was released on 2020-11-23 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 series analysis, multivariate statistics, multivariate geometry, dynamical systems and signal processing. SSA is multi-purpose and naturally combines both model-free and parametric techniques, which makes it a very special and attractive methodology for solving a wide range of problems arising in diverse areas. Rapidly increasing number of novel applications of SSA is a consequence of the new fundamental research on SSA and the recent progress in computing and software engineering which made it possible to use SSA for very complicated tasks that were unthinkable twenty years ago. In this book, the methodology of SSA is concisely but at the same time comprehensively explained by two prominent statisticians with huge experience in SSA. The book offers a valuable resource for a very wide readership, including professional statisticians, specialists in signal and image processing, as well as specialists in numerous applied disciplines interested in using statistical methods for time series analysis, forecasting, signal and image processing. The second edition of the book contains many updates and some new material including a thorough discussion on the place of SSA among other methods and new sections on multivariate and multidimensional extensions of SSA.

Author : Donald B. Percival
Publisher : Cambridge University Press
ISBN 13 : 1108776175
Total Pages : 718 pages
Book Rating : 4.72/5 ( download)

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Download or read book Spectral Analysis for Univariate Time Series written by Donald B. Percival and published by Cambridge University Press. This book was released on 2020-03-19 with total page 718 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spectral analysis is widely used to interpret time series collected in diverse areas. This book covers the statistical theory behind spectral analysis and provides data analysts with the tools needed to transition theory into practice. Actual time series from oceanography, metrology, atmospheric science and other areas are used in running examples throughout, to allow clear comparison of how the various methods address questions of interest. All major nonparametric and parametric spectral analysis techniques are discussed, with emphasis on the multitaper method, both in its original formulation involving Slepian tapers and in a popular alternative using sinusoidal tapers. The authors take a unified approach to quantifying the bandwidth of different nonparametric spectral estimates. An extensive set of exercises allows readers to test their understanding of theory and practical analysis. The time series used as examples and R language code for recreating the analyses of the series are available from the book's website.

Author : Peter Bloomfield
Publisher : John Wiley & Sons
ISBN 13 : 0471653993
Total Pages : 285 pages
Book Rating : 4.98/5 ( download)

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Download or read book Fourier Analysis of Time Series written by Peter Bloomfield and published by John Wiley & Sons. This book was released on 2004-04-05 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new, revised edition of a yet unrivaled work on frequency domain analysis Long recognized for his unique focus on frequency domain methods for the analysis of time series data as well as for his applied, easy-to-understand approach, Peter Bloomfield brings his well-known 1976 work thoroughly up to date. With a minimum of mathematics and an engaging, highly rewarding style, Bloomfield provides in-depth discussions of harmonic regression, harmonic analysis, complex demodulation, and spectrum analysis. All methods are clearly illustrated using examples of specific data sets, while ample exercises acquaint readers with Fourier analysis and its applications. The Second Edition: * Devotes an entire chapter to complex demodulation * Treats harmonic regression in two separate chapters * Features a more succinct discussion of the fast Fourier transform * Uses S-PLUS commands (replacing FORTRAN) to accommodate programming needs and graphic flexibility * Includes Web addresses for all time series data used in the examples An invaluable reference for statisticians seeking to expand their understanding of frequency domain methods, Fourier Analysis of Time Series, Second Edition also provides easy access to sophisticated statistical tools for scientists and professionals in such areas as atmospheric science, oceanography, climatology, and biology.

Author : P.S. Naidu
Publisher : Elsevier
ISBN 13 : 9780080527123
Total Pages : 297 pages
Book Rating : 4.24/5 ( download)

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Download or read book Analysis of Geophysical Potential Fields written by P.S. Naidu and published by Elsevier. This book was released on 1998-06-19 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: When some useful information is hidden behind a mass of unwanted information we often resort to information processing used in its broad sense or specifically to signal processing when the useful information is a waveform. In geophysical surveys, in particular in aeromagnetic and gravity surveys, from the measured field it is often difficult to say much about any one specific target unless it is close to the surface and well isolated from the rest. The digital signal processing approach would enable us to bring out the underlying model of the source, that is, the geological structure. Some of the tools of dsp such as digital filtering, spectrum estimation, inversion, etc., have found extensive applications in aeromagnetic and gravity map analysis. There are other emerging applications of dsp in the area of inverse filtering, three dimensional visualization, etc. The purpose of this book is to bring numerous tools of dsp to the geophysical community, in particular, to those who are entering the geophysical profession. Also the practicing geophysicists, involved in the aeromagnetic and gravity data analysis, using the commercially available software packages, will find this book useful in answering their questions on "why and how?". It is hoped that such a background would enable the practising geophysicists to appreciate the prospects and limitations of the dsp in extracting useful information from the potential field maps. The topics covered are: potential field signals and models, digital filtering in two dimensions, spectrum estimation and application, parameter estimation with error bounds.

Author : Robert H. Shumway
Publisher : Springer
ISBN 13 : 3319524526
Total Pages : 567 pages
Book Rating : 4.28/5 ( download)

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Download or read book Time Series Analysis and Its Applications written by Robert H. Shumway and published by Springer. This book was released on 2017-04-25 with total page 567 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fourth edition of this popular graduate textbook, like its predecessors, presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using nontrivial data illustrate solutions to problems such as discovering natural and anthropogenic climate change, evaluating pain perception experiments using functional magnetic resonance imaging, and monitoring a nuclear test ban treaty. The book is designed as a textbook for graduate level students in the physical, biological, and social sciences and as a graduate level text in statistics. Some parts may also serve as an undergraduate introductory course. Theory and methodology are separated to allow presentations on different levels. In addition to coverage of classical methods of time series regression, ARIMA models, spectral analysis and state-space models, the text includes modern developments including categorical time series analysis, multivariate spectral methods, long memory series, nonlinear models, resampling techniques, GARCH models, ARMAX models, stochastic volatility, wavelets, and Markov chain Monte Carlo integration methods. This edition includes R code for each numerical example in addition to Appendix R, which provides a reference for the data sets and R scripts used in the text in addition to a tutorial on basic R commands and R time series. An additional file is available on the book’s website for download, making all the data sets and scripts easy to load into R.