Practical Time Series Analysis in Natural Sciences / by Victor Privalsky.

Format:

Book

Author/Creator:

Privalʹskiĭ, V. E. (Viktor Evseevich), author.

Series:

Progress in Geophysics, 2523-8396

Language:

English

Subjects (All):

Geophysics.

Planetary science.

Statistics.

Planetary Science.

Applied Statistics.

Local Subjects:

Geophysics.

Planetary Science.

Applied Statistics.

Physical Description:

1 online resource (209 pages)

Edition:

1st ed. 2023.

Place of Publication:

Cham : Springer International Publishing : Imprint: Springer, 2023.

Summary:

This book presents an easy-to-use tool for time series analysis and allows the user to concentrate upon studying time series properties rather than upon how to calculate the necessary estimates. The two attached programs provide, in one run of the program, a time and frequency domain description of scalar or multivariate time series approximated with a sequence of autoregressive models of increasing orders. The optimal orders are chosen by five order selection criteria. The results for scalar time series include time domain stochastic difference equations, spectral density estimates, predictability properties, and a forecast of scalar time series based upon the Kolmogorov-Wiener theory. For the bivariate and trivariate time series, the results contain a time domain description with multivariate stochastic difference equations, statistical predictability criterion, and information for calculating feedback and Granger causality properties in the bivariate case. The frequency domain information includes spectral densities, ordinary, multiple, and partial coherence functions, ordinary and multiple coherent spectra, gain, phase, and time lag factors. The programs seem to be unique and using them does not require professional knowledge of theory of random processes. The book contains many examples including three from engineering.

Contents:

Chapter 1. Introduction

Chapter 2. Scalar time series

Chapter 3. Bivariate time series analysis

Chapter 4. Analysis of trivariate time series

Chapter 5. Conclusions and recommendations.

Notes:

Includes bibliographical references.

Other Format:

Print version: Privalsky, Victor Practical Time Series Analysis in Natural Sciences

ISBN:

9783031168918