Series: Probability and Mathematical Statistics

The Spectral Analysis of Time Series

Most recent volume


Volume . The Spectral Analysis of Time Series

Published: 8th May 1995 Editors: Lambert Koopmans
To tailor time series models to a particular physical problem and to follow the working of various techniques for processing and analyzing data, one must understand the basic theory of spectral (frequency domain) analysis of time series. This classic book provides an introduction to the techniques and theories of spectral analysis of time series. In a discursive style, and with minimal dependence on mathematics, the book presents the geometric structure of spectral analysis. This approach makes possible useful, intuitive interpretations of important time series parameters and provides a unified framework for an otherwise scattered collection of seemingly isolated results. The books strength lies in its applicability to the needs of readers from many disciplines with varying backgrounds in mathematics. It provides a solid foundation in spectral analysis for fields that include statistics, signal process engineering, economics, geophysics, physics, and geology. Appendices provide details and proofs for those who are advanced in math. Theories are followed by examples and applications over a wide range of topics such as meteorology, seismology, and telecommunications. Topics covered include Hilbert spaces; univariate models for spectral analysis; multivariate spectral models; sampling, aliasing, and discrete-time models; real-time filtering; digital filters; linear filters; distribution theory; sampling properties ofspectral estimates; and linear prediction.

Additional volumes


Fourier Series and Integrals

Theory of Rank Tests

Published: 29th March 1999 Editors: Pranab Sen Jaroslav Hajek Zbynek Sidak

Quantum Probability

Published: 28th June 2014 Editors: Stanley Gudder

Multivariate Analysis

Published: 1st January 2014 Editors: Susan Holmes Kanti Mardia J. Kent

Linear Models

Published: 9th October 1996 Editors: William Moser

Volume 1-2. Spectral Analysis and Time Series, Two-Volume Set

Editors: M. Priestley

Unimodality, Convexity, and Applications

Published: 1st August 1988

Multivariate Analysis

Editors: Kanti Mardia J. Bibby J. Kent

Almost Sure Convergence

Published: 28th November 1974 Editors: William Stout

Stochastic Orders and Their Applications

Published: 20th May 1994 Editors: Moshe Shaked