Box, George E. P. and Jenkins, Gwilym M. and Reinsel, Gregory C. and Ljung, Greta M. Autocorrelation Function and Spectrum of Stationary Processes. In: Time Series Analysis: Forecasting and Control. Wiley, pp. 21-46. ISBN 978-1-118-67502-1
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2. Autocorrelation Function and Spectrum of Stationary Processes 21 2.1 Autocorrelation Properties of Stationary Models, 21 2.1.1 Time Series and Stochastic Processes, 21 2.1.2 Stationary Stochastic Processes, 24 2.1.3 Positive Definiteness and the Autocovariance Matrix, 26 2.1.4 Autocovariance and Autocorrelation Functions, 29 2.1.5 Estimation of Autocovariance and Autocorrelation Functions, 30 2.1.6 Standard Errors of Autocorrelation Estimates, 31 2.2 Spectral Properties of Stationary Models, 34 2.2.1 Periodogram of a Time Series, 34 2.2.2 Analysis of Variance, 35 2.2.3 Spectrum and Spectral Density Function, 36 2.2.4 Simple Examples of Autocorrelation and Spectral Density Functions, 40 2.2.5 Advantages and Disadvantages of the Autocorrelation and Spectral Density Functions, 43 Appendix A2.1 Link Between the Sample Spectrum and Autocovariance Function Estimate, 43 Exercises, 44
| Item Type: | Book Section |
|---|---|
| Application references: | Autocorrelation |
| Subjects: | Methodology > Method and procesing > Technology-seismicity interaction |
| Project: | EPOS-IP |