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Magic square of real spectral and time series analysis with an application to moving average processes / I. Krasbutter (2015)  

Public contenu dans The 1st International workshop on the quality of geodetic observation and monitoring systems (QuGOMS'11) / Hansjörg Kutterer (2015)   Titre : Magic square of real spectral and time series analysis with an application to moving average processes Type de document : Article/Communication Auteurs : I. Krasbutter, Auteur ; Boris Kargoll, Auteur ; W.D. Schuh, Auteur Editeur : Berlin, Heidelberg, Vienne, New York, ... : Springer Année de publication : 2015 Collection : International Association of Geodesy Symposia, ISSN 0939-9585 num. 140 Conférence : QuGOMS 2011, 1st IAG International workshop on the quality of geodetic observation and monitoring systems 13/04/2011 15/04/2011 Munich Allemagne Proceedings Springer Importance : pp 9 - 14 Note générale : bibliographie Langues : Anglais (eng) Descripteur : [Vedettes matières IGN] Statistiques [Termes IGN] analyse spectrale [Termes IGN] moyenne mobile [Termes IGN] processus stochastique [Termes IGN] série temporelle Résumé : (auteur) This paper is concerned with the spectral analysis of stochastic processes that are realvalued, one-dimensional, discrete-time, covariance-stationary, and which have a representation as a moving average (MA) process. In particular, we will review the meaning and interrelations of four fundamental quantities in the time and frequency domain, (1) the stochastic process itself (which includes filtered stochastic processes), (2) its autocovariance function, (3) the spectral representation of the stochastic process, and (4) the corresponding spectral distribution function, or if it exists, the spectral density function. These quantities will be viewed as forming the corners of a square (the “magic square of spectral and time series analysis”) with various connecting lines, which represent certain mathematical operations between them. To demonstrate the evaluation of these operations, we will discuss the example of a q-th order MA process. Numéro de notice : C2011-031 Affiliation des auteurs : non IGN Thématique : MATHEMATIQUE Nature : Communication DOI : 10.1007/978-3-319-10828-5_2 En ligne : https://doi.org/10.1007/978-3-319-10828-5_2 Format de la ressource électronique : URL article Permalink : https://documentation.ensg.eu/index.php?lvl=notice_display&id=84802