Spectral Analysis of Time Series.

Abstract

One use of spectral analysis of time series is to determine if two different time series are realizations from the same process. This thesis develops the theory behind Krishnaiah and Schuurmann's theoretical work reported in their report Approximations to the Distributions of the Traces of Complex Multivariate Beta and F Matrices. We take the trace of a test statistic calculated from the spectral density matrices of the time series and test it. The thesis applies the theory to two small sample simulations. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1979
Accession Number
ADA072921

Entities

People

  • Anthony L. Bertapelle

Organizations

  • Air Force Institute of Technology

Tags

Communities of Interest

  • Electronic Warfare
  • Materials and Manufacturing Processes
  • Weapons Technologies

DTIC Thesaurus Topics

  • Air Force
  • Air Force Facilities
  • Beta Testing
  • Computer Programs
  • Data Science
  • Estimators
  • Information Science
  • Monte Carlo Method
  • Numbers
  • Periodic Functions
  • Power Spectra
  • Probability
  • Simulations
  • Statistical Algorithms
  • Statistical Distributions
  • Statistics
  • United States

Fields of Study

  • Mathematics

Readers

  • Statistical inference.