Decomposition of Time Series into Deterministic and Indeterministic Components.
Abstract
Samples of a time series contain deterministic and indeterministic components. Frequency of occurrence of deterministic components can be estimated by fitting the data to an autoregression model and applying Z-transform theory of this model. A test is presented for testing the hypothesis that a periodic component is contained. By extraction of periodic components and repeating the procedure, the spectrum of the sampled data can be whitened. This report discusses this procedure, presents a computer program that implements this procedure and gives results of this program applied to test data. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Apr 19, 1971
- Accession Number
- AD0729046
Entities
People
- Charles Troy Brodnax
Organizations
- Southern Methodist University