Approach to empirical time series analysis
Emanuel Parzen · Journal of Research of the National Bureau of Standards Section D Radio Science · 1964
This p aper attemp ts to d evelop a philosophy for empiri cal time series a na lys is, in volving t h e routin e usc of four data handling proced ures (c ovariance estimatioll, spect.ral est im ation, a u toregressive modrl fitting and spectral esti mation , and trend elimination a nd estim ation) embodied in a computer prog ram.The cross-spectral analys is of a pair of time series, each con ist.in g of 4000 observations, r equires approximately 1.0 minutes on a 7090, in cludin g computation of covariances.Several examples of empirical time series analys is arc given.