Stationary Time Series Analysis Using Information and Spectral Analysis

Abstract

The technical aims of this paper are: to discuss some roles of information ideas and spectral analysis in time series analysis (sections 1 and 2); extend spectral estimation by exponential models and extend (to time series) goodness of fit tests by components (sections 3 and 4). Section 0 presents some philosophy. The practice of statistics and time series analysis can stand on the shoulders of giants if we develop a framework which unifies diverse methods. Information ideas are central to a unified framework since they clarify and extend methods by providing many levels of relationship between time series analysis, classical statistical methods for independent samples, and signal processing problems called inverse problems with positivity constraints. Entropy; Renyi information; Stationary time series; Spectral exponential models; Spectral components.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1992
Accession Number
ADA257279

Entities

People

  • Emanuel Parzen

Organizations

  • Texas A&M University

Tags

Communities of Interest

  • C4I
  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Computer Science
  • Data Science
  • Distribution Functions
  • Estimators
  • Goodness Of Fit Tests
  • Information Processing
  • Information Science
  • Inverse Problems
  • Knowledge Management
  • Network Science
  • Normal Distribution
  • Probability
  • Random Variables
  • Signal Processing
  • Statistical Algorithms
  • Statistics
  • Time Series Analysis

Fields of Study

  • Mathematics

Readers

  • Business Analytics
  • Statistical inference.
  • Theoretical Analysis.