Applied Time Series Analysis
Applied Time Series Analysis

Author: David F. Findley

Publisher: Academic Press

Published: 2014-05-10

Total Pages: 358

ISBN-13: 1483263940

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Applied Time Series Analysis contains the proceedings of the First Applied Time Series Symposium held in Tulsa, Oklahoma, on May 14-15, 1976. The symposium provided a forum for reviewing various applications of time series analysis and covered topics ranging from nonlinear time series modeling and G-spectral estimation to multivariate autoregression estimation using residuals. Adaptive processing of seismic data and the application of homomorphic filtering to seismic data processing are also discussed. Comprised of 10 chapters, this book begins by describing the application of parametric models to the analysis and control of time series using some numerical examples. The reader is then introduced to nonlinear time series modeling; two-dimensional recursive filtering in theory and practice; and spectral estimators. Waves propagating in random media as statistical time series are also considered. The book concludes with a chapter that illustrates how the intensity of a Poisson process is estimated, with emphasis on a time series approach to the fixed signal case, invariant testing, and spline estimation. This monograph will be a useful resource for students and practitioners in the fields of mathematics and statistics, electrical engineering, and computer science.

Time Series
Time Series

Author: David R. Brillinger

Publisher: SIAM

Published: 1981-01-01

Total Pages: 560

ISBN-13: 9780898719246

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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. Audience: this book will be most useful to applied mathematicians, communication engineers, signal processors, statisticians, and time series researchers, both applied and theoretical. Readers should have some background in complex function theory and matrix algebra and should have successfully completed the equivalent of an upper division course in statistics.

Applied Time Series Analysis II
Applied Time Series Analysis II

Author: David F. Findley

Publisher: Academic Press

Published: 2014-05-10

Total Pages: 811

ISBN-13: 1483263908

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Applied Time Series Analysis II contains the proceedings of the Second Applied Time Series Symposium Held in Tulsa, Oklahoma, on March 3-5, 1980. The symposium provided a forum for discussing significant advances in time series analysis and signal processing. Effective alternatives to the familiar least-square and maximum likelihood procedures are described, along with maximum likelihood procedures for modeling irregularly sampled series and for classifying non-stationary series. Comprised of 22 chapters, this volume begins with an introduction to the multidimensional filtering theory and presents specific case histories related to the multidimensional recursive filter stability problem; the least squares inverse problem; realization of filters; and spectral estimation. The unique properties of the three-dimensional wave equation are also considered. Subsequent chapters focus on high-resolution spectral estimators; time series analysis of geophysical inverse scattering problems; minimum entropy deconvolution; and fitting of a continuous time autoregression to discrete data. This monograph will appeal to students and practitioners in the fields of mathematics and statistics, electrical and electronics engineering, and information and computer sciences.

The Analysis of Time Series: Theory and Practice
The Analysis of Time Series: Theory and Practice

Author: Christopher Chatfield

Publisher: Springer

Published: 2013-12-01

Total Pages: 277

ISBN-13: 1489929258

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Time-series analysis is an area of statistics which is of particular interest at the present time. Time series arise in many different areas, ranging from marketing to oceanography, and the analysis of such series raises many problems of both a theoretical and practical nature. I first became interested in the subject as a postgraduate student at Imperial College, when I attended a stimulating course of lectures on time-series given by Dr. (now Professor) G. M. Jenkins. The subject has fascinated me ever since. Several books have been written on theoretical aspects of time-series analysis. The aim of this book is to provide an introduction to the subject which bridges the gap between theory and practice. The book has also been written to make what is rather a difficult subject as understandable as possible. Enough theory is given to introduce the concepts of time-series analysis and to make the book mathematically interesting. In addition, practical problems are considered so as to help the reader tackle the analysis of real data. The book assumes a knowledge of basic probability theory and elementary statistical inference (see Appendix III). The book can be used as a text for an undergraduate or postgraduate course in time-series, or it can be used for self tuition by research workers. Throughout the book, references are usually given to recent readily accessible books and journals rather than to the original attributive references. Wold's (1965) bibliography contains many time series references published before 1959.