Stationary processIn mathematics and statistics, a stationary process (or a strict/strictly stationary process or strong/strongly stationary process) is a stochastic process whose unconditional joint probability distribution does not change when shifted in time. Consequently, parameters such as mean and variance also do not change over time. If you draw a line through the middle of a stationary process then it should be flat; it may have 'seasonal' cycles around the trend line, but overall it does not trend up nor down.
Autoregressive modelIn statistics, econometrics, and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it is used to describe certain time-varying processes in nature, economics, behavior, etc. The autoregressive model specifies that the output variable depends linearly on its own previous values and on a stochastic term (an imperfectly predictable term); thus the model is in the form of a stochastic difference equation (or recurrence relation which should not be confused with differential equation).
Autoregressive–moving-average modelIn the statistical analysis of time series, autoregressive–moving-average (ARMA) models provide a parsimonious description of a (weakly) stationary stochastic process in terms of two polynomials, one for the autoregression (AR) and the second for the moving average (MA). The general ARMA model was described in the 1951 thesis of Peter Whittle, Hypothesis testing in time series analysis, and it was popularized in the 1970 book by George E. P. Box and Gwilym Jenkins.
Autoregressive integrated moving averageIn statistics and econometrics, and in particular in time series analysis, an autoregressive integrated moving average (ARIMA) model is a generalization of an autoregressive moving average (ARMA) model. To better comprehend the data or to forecast upcoming series points, both of these models are fitted to time series data. ARIMA models are applied in some cases where data show evidence of non-stationarity in the sense of mean (but not variance/autocovariance), where an initial differencing step (corresponding to the "integrated" part of the model) can be applied one or more times to eliminate the non-stationarity of the mean function (i.
Moving-average modelIn time series analysis, the moving-average model (MA model), also known as moving-average process, is a common approach for modeling univariate time series. The moving-average model specifies that the output variable is cross-correlated with a non-identical to itself random-variable. Together with the autoregressive (AR) model, the moving-average model is a special case and key component of the more general ARMA and ARIMA models of time series, which have a more complicated stochastic structure.
Kalman filterFor statistics and control theory, Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, including statistical noise and other inaccuracies, and produces estimates of unknown variables that tend to be more accurate than those based on a single measurement alone, by estimating a joint probability distribution over the variables for each timeframe. The filter is named after Rudolf E. Kálmán, who was one of the primary developers of its theory.
Time seriesIn mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average. A time series is very frequently plotted via a run chart (which is a temporal line chart).
Digital filterIn signal processing, a digital filter is a system that performs mathematical operations on a sampled, discrete-time signal to reduce or enhance certain aspects of that signal. This is in contrast to the other major type of electronic filter, the analog filter, which is typically an electronic circuit operating on continuous-time analog signals. A digital filter system usually consists of an analog-to-digital converter (ADC) to sample the input signal, followed by a microprocessor and some peripheral components such as memory to store data and filter coefficients etc.
Unit rootIn probability theory and statistics, a unit root is a feature of some stochastic processes (such as random walks) that can cause problems in statistical inference involving time series models. A linear stochastic process has a unit root if 1 is a root of the process's characteristic equation. Such a process is non-stationary but does not always have a trend. If the other roots of the characteristic equation lie inside the unit circle—that is, have a modulus (absolute value) less than one—then the first difference of the process will be stationary; otherwise, the process will need to be differenced multiple times to become stationary.
Digital biquad filterIn signal processing, a digital biquad filter is a second order recursive linear filter, containing two poles and two zeros. "Biquad" is an abbreviation of "biquadratic", which refers to the fact that in the Z domain, its transfer function is the ratio of two quadratic functions: The coefficients are often normalized such that a0 = 1: High-order infinite impulse response filters can be highly sensitive to quantization of their coefficients, and can easily become unstable.
Spectral density estimationIn statistical signal processing, the goal of spectral density estimation (SDE) or simply spectral estimation is to estimate the spectral density (also known as the power spectral density) of a signal from a sequence of time samples of the signal. Intuitively speaking, the spectral density characterizes the frequency content of the signal. One purpose of estimating the spectral density is to detect any periodicities in the data, by observing peaks at the frequencies corresponding to these periodicities.
High-pass filterA high-pass filter (HPF) is an electronic filter that passes signals with a frequency higher than a certain cutoff frequency and attenuates signals with frequencies lower than the cutoff frequency. The amount of attenuation for each frequency depends on the filter design. A high-pass filter is usually modeled as a linear time-invariant system. It is sometimes called a low-cut filter or bass-cut filter in the context of audio engineering. High-pass filters have many uses, such as blocking DC from circuitry sensitive to non-zero average voltages or radio frequency devices.
Spectral densityThe power spectrum of a time series describes the distribution of power into frequency components composing that signal. According to Fourier analysis, any physical signal can be decomposed into a number of discrete frequencies, or a spectrum of frequencies over a continuous range. The statistical average of a certain signal or sort of signal (including noise) as analyzed in terms of its frequency content, is called its spectrum.
Vector autoregressionVector autoregression (VAR) is a statistical model used to capture the relationship between multiple quantities as they change over time. VAR is a type of stochastic process model. VAR models generalize the single-variable (univariate) autoregressive model by allowing for multivariate time series. VAR models are often used in economics and the natural sciences. Like the autoregressive model, each variable has an equation modelling its evolution over time.
Ensemble Kalman filterThe ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman filter for large problems (essentially, the covariance matrix is replaced by the sample covariance), and it is now an important data assimilation component of ensemble forecasting.
Filter designFilter design is the process of designing a signal processing filter that satisfies a set of requirements, some of which may be conflicting. The purpose is to find a realization of the filter that meets each of the requirements to a sufficient degree to make it useful. The filter design process can be described as an optimization problem where each requirement contributes to an error function that should be minimized. Certain parts of the design process can be automated, but normally an experienced electrical engineer is needed to get a good result.
ForecastingForecasting is the process of making predictions based on past and present data. Later these can be compared (resolved) against what happens. For example, a company might estimate their revenue in the next year, then compare it against the actual results creating a variance actual analysis. Prediction is a similar but more general term. Forecasting might refer to specific formal statistical methods employing time series, cross-sectional or longitudinal data, or alternatively to less formal judgmental methods or the process of prediction and resolution itself.
Filter (signal processing)In signal processing, a filter is a device or process that removes some unwanted components or features from a signal. Filtering is a class of signal processing, the defining feature of filters being the complete or partial suppression of some aspect of the signal. Most often, this means removing some frequencies or frequency bands. However, filters do not exclusively act in the frequency domain; especially in the field of many other targets for filtering exist.
Linear filterLinear filters process time-varying input signals to produce output signals, subject to the constraint of linearity. In most cases these linear filters are also time invariant (or shift invariant) in which case they can be analyzed exactly using LTI ("linear time-invariant") system theory revealing their transfer functions in the frequency domain and their impulse responses in the time domain. Real-time implementations of such linear signal processing filters in the time domain are inevitably causal, an additional constraint on their transfer functions.
Partial autocorrelation functionIn time series analysis, the partial autocorrelation function (PACF) gives the partial correlation of a stationary time series with its own lagged values, regressed the values of the time series at all shorter lags. It contrasts with the autocorrelation function, which does not control for other lags. This function plays an important role in data analysis aimed at identifying the extent of the lag in an autoregressive (AR) model.
