Decomposition of Time Series into Deterministic and Indeterministic Components.

摘要

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)