A Handbook of Time-series Analysis, Signal Processing and Dynamics, Volume 1

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Academic Press, 1999 - Technology & Engineering - 733 pages
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The Handbook of Time Series Analysis, Signal Processing and Dynamics serves as both as a text in time-series analysis and signal processing and a reference for research workers and practitioners. Time-series analysis and signal processing are two closely related subjects which are the concern of a wide range of applied disciplines, including statistics, econometrics, electrical engineering, mechanical engineering and physics. The first part of the Handbook covers the mathematical theory which is the foundation of the two subjects. It then moves onto an extensive treatment of the numerical analysis which, while specifically to the subjects of time-series analysis and signal processing, is of a much wider interest. The third part of the text covers time-series analysis and signal processing themselves. The Handbook also serves as an accessible work of reference. The computer code which implements the algorithms is woven into the text binding closely with the mathematical exposition. This allows the detailed workings of the algorithms to be understood quickly. The accompanying Macintosh/DOS hybrid CD Rom contains extensive libraries of computer programs and computer code together with
 

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Contents

The Methods of TimeSeries Analysis
3
Polynomial Methods
21
Elements of Polynomial Algebra
23
Rational Functions and Complex Analysis
55
Polynomial Computations
89
Difference Equations and Differential Equations
121
Vector Difference Equations and StateSpace Models
161
LeastSquares Methods
179
Fourier Series and Fourier Integrals
365
The Discrete Fourier Transform
399
The Fast Fourier Transform
427
TimeSeries Models
457
Linear Filters
459
Autoregressive and MovingAverage Processes
513
TimeSeries Analysis in the Frequency Domain
549
Prediction and Signal Extraction
575

Matrix Computations
181
Classical Regression Analysis
201
Recursive LeastSquares Estimation
227
Estimation of Polynomial Trends
261
Smoothing with Cubic Splines
293
Unconstrained Optimisation
323
Fourier Methods
363
TimeSeries Estimation
617
Estimation of the Mean and the Autocovariances
619
LeastSquares Methods of ARMA Estimation
637
MaximumLikelihood Methods of ARMA Estimation
667
Nonparametric Estimation of the Spectral Density Function
697
Index
721
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