Bayesian Estimation of Time Series Lags and Structure

机译：时间序列滞后和结构的贝叶斯估计

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This paper derives practical algorithms, based on Bayesian inference methods, for several data analysis problems common in time series analysis of astronomical and other data. One problem is the determination of the lag between two time series, for which the cross-correlation function is a sufficient statistic. The second problem is the estimation of structure in a time series of measurements which are a weighted integral over a finite range of the independent variable.

机译：本文基于贝叶斯推理方法，导出了针对天文数据和其他数据的时间序列分析中常见的几个数据分析问题的实用算法。一个问题是确定两个时间序列之间的滞后，对此，互相关函数是足够的统计量。第二个问题是在测量的时间序列中对结构的估计，这些测量是在自变量的有限范围内的加权积分。

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来源
《Bayesian Inference and Maximum Entropy Methods in Science and Engineering》|2001年|p.23-35|共13页
会议地点 Baltimore MD(US)
作者
Jeffrey D. Scargle;
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作者单位

Space Science Division, NASA Ames Research Center, MS 245-3, NASA Ames Research Center, Moffett Field, CA, 94035-1000;

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会议组织
原文格式 PDF
正文语种 eng
中图分类科学、科学研究;
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2. Non-Parametric Determination of Real-Time Lag Structure between Two Time Series: The "Optimal Thermal Causal Path" Method with Applications to Economic Data. [J] . Zhou Wei-Xing, Sornette Didier Journal of Macroeconomics . 2006,第1期

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3. Comments on "Non-Parametric Determination of Real-Time Lag Structure between Two Time Series: The 'Optimal Thermal Causal Path' Method with Applications to Economic Data". [J] . Andersen Jorgen Vitting Journal of Macroeconomics . 2006,第1期

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4. Bayesian estimation of time series lags and structure [C] . Jeffrey D. Scargle International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering . 2002

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7. Bayesian Estimation of Time Series Lags and Structure [O] . Scargle, Jeffrey D. 2001

机译：时间序列滞后和结构的贝叶斯估计

Bayesian Estimation of Time Series Lags and Structure

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