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):

Report Date:

1971-04-19

Pagination or Media Count:

71.0

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE