Decomposition of Time Series into Deterministic and Indeterministic Components.
SOUTHERN METHODIST UNIV DALLAS TEX DEPT OF STATISTICS
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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
- Statistics and Probability