內容簡介

時間序列分析是用隨機過程理論和數理統計學的方法,研究隨機數據序列所遵從的統計規律,用于解決科研、工程技術、金融及經濟等諸多領域內的實際問題。

本書是一本由淺入深的小波分析導論,介紹了基于小波的時間序列統計分析。實踐中的離散時間技術是本書的論述重點,同時對于理解和實現離散小波變換將涉及到的諸多原理與算法也進行了詳細的描述。

本書圖例豐富,正文附有大量練習,並在附錄中給出了練習的答案。每章另備有適于課堂布置的練習。本書網站有所用時間序列與小波的材料,並可以得到用S-Plus和其他語言開發軟件的信息。
 

目錄

Preface
Conuentions and Notation
1.Introduction to Wavelets
1.0 Introduction
1.1 The Essence of a Wavelet
Comments and Extensions to Section 1.1
1.2 The Essence of Wavelet Analysis
Comments and Extensions to Section 1.2
1.3 Beyond the CWT:the Discrete Wavelet Transform
Comments and Extensions to Section 1.3
2.Review of Fourier Theory and Filters
2.0 Introduction
2.1 Complex Variables and Complex Exponentials
2.2 Fourier Transform of Infinite Sequences
2.3 Convolution/Filtering of Infinite Sequences
2.4 Fourier Transform of Finite Sequences
2.5 Circular Convolution/Filtering of Finite Sequences
2.6 Periodized Filters
Comments and Extensions to Section 2.6
2.7 Summary of Fourier Theory
2.8 Exercises
3.Orthonormal Transforms of time Series
3.0 Introduction
3.1 Basic Theory for Orthonormal Transforms
3.2 The Projection Theorem
3.3 Complex-Valued Transforms
3.4 The Orthonormal Discrete Fourier Transform
Comments and Extensions to Section 3.4
3.5 Summary
3.6 Exercises
4.The Discrete Wavelet Transform
4.0 Introduction
4.1 Qualitative Description of the DWT
Key Facts and Definitions in Section 4.1
Comments and Extensions to Section 4.1
4.2 The Wavelet Filter
Key Facts and Definitions in Section 4.2
Comments and Extensions to Section 4.2
4.3 The Scaling Filter
Key Facts and Definitions in Section 4.3
Comments and Extensions to Section 4.3
4.4 First Stage of the Pyramid Algorithm
Key Facts and Definitions in Section 4.4
Comments and Extensions to Section 4.4
4.5 Second Stage of the Pyramid Algorithm
Key Facts and Definitions in Section 4.5
4.6 General Stage of the Pyramid Algorithm
Key Facts and Definitions in Section 4.6
Comments and Extension to Section 4.6
4.7 The Partial Discrete Wavelet Transform
4.8 Daubechies Wavelet and Scaling Filters:From and Phase
Key Facts and Definitions in Section 4.8
Comments and Extensions to Section 4.8
4.9 Coiflet Wavelet and Scaling Filters:Form and Phase
4.10 Example:Electrocardiogram Data
Comments and Extensions to Section 4.10
4.11 Practical Considerations
Comments and Extensions to Section 4.11
4.12 Summary
4.13 Exercises
5.The Maximal Overlap Discrete Wavelet Transform
6.The Discrete Wavelet Packet Transform
7.Random Variables and Stochastic Processes
8.The Wavelet Variance
9.Analysis and Synthesis of Long Memory Processes
10.Wavelet-Based Signal Estimation
11.Wavelet Analysis of Finite Energy Signals
Appendix.Answers to Embedded Exercises
References
Author Index
Subject Index
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