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Time series in M dimensions: The power spectrum

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1 Author(s)
Yetzer, Roger H. ; IBM Corporation, Industrial Sector Organization, Kingston, New York 12401, USA

The approach presented here extends the modeling of M-dimensional (spatial) time series from the time domain into the frequency domain. The autocovariance function for an M-dimensional time series is transformed to obtain the power spectrum in M dimensions. The latter describes the variance within the series and can be used to identify dependencies and/or test the adequacy of a fitted model. An example is provided.

Note: The Institute of Electrical and Electronics Engineers, Incorporated is distributing this Article with permission of the International Business Machines Corporation (IBM) who is the exclusive owner. The recipient of this Article may not assign, sublicense, lease, rent or otherwise transfer, reproduce, prepare derivative works, publicly display or perform, or distribute the Article.  

Published in:

IBM Journal of Research and Development  (Volume:33 ,  Issue: 4 )