Automatic Autocorrelation and Spectral Analysis / Edition 1

Automatic Autocorrelation and Spectral Analysis / Edition 1

by Petrus M.T. Broersen
     
 

ISBN-10: 1849965811

ISBN-13: 9781849965811

Pub. Date: 10/13/2010

Publisher: Springer London

Spectral analysis requires subjective decisions which influence the final estimate and mean that different analysts can obtain different results from the same stationary stochastic observations. Statistical signal processing can overcome this difficulty, producing a unique solution for any set of observations but that is only acceptable if it is close to the best

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Overview

Spectral analysis requires subjective decisions which influence the final estimate and mean that different analysts can obtain different results from the same stationary stochastic observations. Statistical signal processing can overcome this difficulty, producing a unique solution for any set of observations but that is only acceptable if it is close to the best attainable accuracy for most types of stationary data. This book describes a method which fulfils the above near-optimal-solution criterion, taking advantage of greater computing power and robust algorithms to produce enough candidate models to be sure of providing a suitable candidate for given data.

Product Details

ISBN-13:
9781849965811
Publisher:
Springer London
Publication date:
10/13/2010
Edition description:
Softcover reprint of hardcover 1st ed. 2006
Pages:
298
Product dimensions:
9.21(w) x 6.14(h) x 0.65(d)

Table of Contents

Basic Concepts.- Periodogram and Lagged Product Autocorrelation.- ARMA Theory.- Relations for Time Series Models.- Estimation of Time Series Models.- AR Order Selection.- MA and ARMA Order Selection.- ARMASA Toolbox with Applications.- Advanced Topics in Time Series Estimation.

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