## Handbook of Time Series Analysis, Signal Processing, and DynamicsD. S.G. Pollock, Richard C. Green, Truong Nguyen The aim of this book is to serve as a graduate text and reference in time series analysis and signal processing, two closely related subjects that are the concern of a wide range of disciplines, such as statistics, electrical engineering, mechanical engineering and physics. The book provides a CD-ROM containing codes in PASCAL and C for the computer procedures printed in the book. It also furnishes a complete program devoted to the statistical analysis of time series, which will be attractive to a wide range of academics working in diverse mathematical disciplines. |

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### Contents

21 | |

LeastSquares Methods | 179 |

Fourier Methods | 363 |

TimeSeries Models | 457 |

TimeSeries Estimation | 617 |

Index | 725 |

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### Common terms and phrases

algorithm analogue analysis approximation ARMA autoregressive B-spline begin calculated chapter coefﬁcients components computing condition consider convergence convolution corresponding cosine criterion function deﬁned derived described diagonal difference equation discrete Fourier transform discrete-time Fourier transform dispersion matrix elements estimate example expression factor factorisation Figure ﬁlter ﬁnal ﬁnd ﬁnding ﬁnite ﬁrst follows formula Fourier series Fourier transform frequency domain given gives Hessian matrix identity indeﬁnite inﬁnite integer Intentionally Left Blank interval inverse iterations lag operator lambda linear lower-triangular lowpass ﬁlter method minimising moving-average process nonzero observations obtained operator orthogonal parameters periodic periodogram points prediction errors procedure quadratic quadratic function rational function real-valued recursive regression represented result roots sample sequence signal smoothing solution speciﬁed spectral density spectral density function spectrum spline stationary stationary process Statistical Tcap theorem theta Toeplitz unit circle values variables variance vector zero