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Representation of Time Series

  • Masanao Aoki
Part of the Universitext book series (UTX)

Abstract

Basically, one can describe time series either in the time domain or in the frequency domain. Difference equations are used in the former, and frequency spectra or transfer functions are used in the latter to specify the dynamic structure of time series. Both representations are used in this book. This chapter discusses time series models first in the time-domain, then using transfer functions in the frequency domain. The time domain representation of time series can further be divided into two broad and different modes: the traditional and the newer Markovian, i.e., state space representation mentioned in Chapter 2.

Keywords

Time Series Kalman Filter State Space Model ARMA Model Seasonal Component 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1987

Authors and Affiliations

  • Masanao Aoki
    • 1
  1. 1.Department of Computer Science and Department of EconomicsUniversity of CaliforniaLos AngelesUSA

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