Time Series with Mixed Spectra: Theory and Methods by Ta-Hsin Li

By Ta-Hsin Li

Time sequence with combined spectra are characterised by way of hidden periodic elements buried in random noise. regardless of robust curiosity within the statistical and sign processing groups, no booklet bargains a entire and updated remedy of the topic. Filling this void, Time sequence with combined Spectra specializes in the equipment and thought for the statistical research of time sequence with combined spectra. It provides distinctive theoretical and empirical analyses of vital tools and algorithms.

Using either simulated and real-world facts to demonstrate the analyses, the publication discusses periodogram research, autoregression, greatest probability, and covariance research. It considers actual- and complex-valued time sequence, with and with no the Gaussian assumption. the writer additionally comprises the latest effects at the Laplace and quantile periodograms as extensions of the normal periodogram.

Complete in breadth and intensity, this booklet explains the best way to practice the spectral research of time sequence info to realize and estimate the hidden periodicities represented by way of the sinusoidal services. The publication not just extends effects from the present literature but additionally includes unique fabric, together with the asymptotic conception for heavily spaced frequencies and the evidence of asymptotic normality of the nonlinear least-absolute-deviations frequency estimator.

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