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Magic Square of Real Spectral and Time Series Analysis with an Application to Moving Average Processes

  • I. Krasbutter
  • B. KargollEmail author
  • W.-D. Schuh
Conference paper
Part of the International Association of Geodesy Symposia book series (IAG SYMPOSIA, volume 140)

Abstract

This paper is concerned with the spectral analysis of stochastic processes that are real-valued, one-dimensional, discrete-time, covariance-stationary, and which have a representation as a moving average (MA) process. In particular, we will review the meaning and interrelations of four fundamental quantities in the time and frequency domain, (1) the stochastic process itself (which includes filtered stochastic processes), (2) its autocovariance function, (3) the spectral representation of the stochastic process, and (4) the corresponding spectral distribution function, or if it exists, the spectral density function. These quantities will be viewed as forming the corners of a square (the “magic square of spectral and time series analysis”) with various connecting lines, which represent certain mathematical operations between them. To demonstrate the evaluation of these operations, we will discuss the example of a q-th order MA process.

Keywords

Moving average process Spectral analysis Stochastic process Time series analysis 

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Institute of Geodesy and GeoinformationUniversity of BonnBonnGermany

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