Accession Number:

AD0814687

Title:

EIGENVALUES AND EIGENVECTORS OF SPECTRAL DENSITY MATRICES

Descriptive Note:

Seismic data laboratory rept.

Corporate Author:

TELEDYNE INDUSTRIES INC ALEXANDRIA VA EARTH SCIENCES DIV

Personal Author(s):

Report Date:

1967-04-07

Pagination or Media Count:

23.0

Abstract:

This report describes some interpretations and uses of eigenvalues and eigenvectors of spectral and sample spectral density matrices of multiple stationary time series. The spectral density matrix of a zero-mean multiple stationary time series is defined. Eigenvalues and eigenvectors of the spectral density matrix are discussed and principal component theory is presented. Statistical distribution theory and related results are used to investigate the eigenvalues of a sample spectral density matrix. This investigation gives methods for obtaining simultaneous confidence bounds on the elements of the true spectral density matrix and its inverse, and also methods for obtaining confidence bounds on the eigenvalues of the true spectral density matrix.

Subject Categories:

  • Seismology
  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE