Accession Number : AD0729046

Title :   Decomposition of Time Series into Deterministic and Indeterministic Components.

Descriptive Note : Technical rept.,

Corporate Author : SOUTHERN METHODIST UNIV DALLAS TEX DEPT OF STATISTICS

Personal Author(s) : Brodnax,Charles Troy

Report Date : 19 APR 1971

Pagination or Media Count : 71

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)

Descriptors :   (*TIME SERIES ANALYSIS, PERIODIC VARIATIONS), INTEGRAL TRANSFORMS, STOCHASTIC PROCESSES, INTEGRAL TRANSFORMS, CORRELATION TECHNIQUES, MATHEMATICAL PREDICTION, FOURIER ANALYSIS, NUMERICAL ANALYSIS, POWER SPECTRA, THESES

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE