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Séance de cours

Analyse spectrale: Séries chronologiques

Concepts associés (25)

Unevenly spaced time series

In statistics, signal processing, and econometrics, an unevenly (or unequally or irregularly) spaced time series is a sequence of observation time and value pairs (tn, Xn) in which the spacing of observation times is not constant. Unevenly spaced time series naturally occur in many industrial and scientific domains: natural disasters such as earthquakes, floods, or volcanic eruptions typically occur at irregular time intervals.

Maximum entropy spectral estimation

Maximum entropy spectral estimation is a method of spectral density estimation. The goal is to improve the spectral quality based on the principle of maximum entropy. The method is based on choosing the spectrum which corresponds to the most random or the most unpredictable time series whose autocorrelation function agrees with the known values. This assumption, which corresponds to the concept of maximum entropy as used in both statistical mechanics and information theory, is maximally non-committal with regard to the unknown values of the autocorrelation function of the time series.

Autoregressive integrated moving average

In 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.

Non-uniform discrete Fourier transform

In applied mathematics, the nonuniform discrete Fourier transform (NUDFT or NDFT) of a signal is a type of Fourier transform, related to a discrete Fourier transform or discrete-time Fourier transform, but in which the input signal is not sampled at equally spaced points or frequencies (or both). It is a generalization of the shifted DFT. It has important applications in signal processing, magnetic resonance imaging, and the numerical solution of partial differential equations.

Moment cinétique

En mécanique classique, le moment cinétique (ou moment angulaire par anglicisme) d'un point matériel M par rapport à un point O est le moment de la quantité de mouvement par rapport au point O, c'est-à-dire le produit vectoriel : Le moment cinétique d'un système matériel est la somme des moments cinétiques (par rapport au même point O) des points matériels constituant le système : Cette grandeur, considérée dans un référentiel galiléen, dépend du choix de l'origine O, par suite, il n'est pas possible de com