Optimal transformations and the spectral envelope for real-valued time series

Andrew McDougall, D. S. Stoffer, D. E. Tyler

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)

Abstract

The concept of a spectral envelope for exploring the periodic nature of real-valued time series is introduced. This concept follows naturally from the data-dependent approach proposed by Stoffer et al. (1993) for spectral analysis and scaling of categorical processes. Here, the notion of the spectral envelope is applied in the context of transformations of a time series, and a data-dependent approach for selecting optimal transformations is proposed. These transformations help emphasize periodicities that may exist in the real-valued process. The definition of the spectral envelope is also extended to include multivariate time series. Several examples are used to illustrate the application of this methodology and asymptotic properties of the procedure are established.

Original languageEnglish
Pages (from-to)195-214
Number of pages20
JournalJournal of Statistical Planning and Inference
Volume57
Issue number2
StatePublished - 1 Feb 1997

Fingerprint

Envelope
Time series
Dependent Data
Multivariate Time Series
Spectral Analysis
Categorical
Spectrum analysis
Periodicity
Asymptotic Properties
Scaling
Methodology
Concepts
Context
Asymptotic properties
Spectral analysis
Multivariate time series

Keywords

  • Spectral envelope
  • Time series
  • Transformations

Cite this

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Optimal transformations and the spectral envelope for real-valued time series. / McDougall, Andrew; Stoffer, D. S.; Tyler, D. E.

In: Journal of Statistical Planning and Inference, Vol. 57, No. 2, 01.02.1997, p. 195-214.

Research output: Contribution to journalArticleResearchpeer-review

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