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Published online by Cambridge University Press: 23 March 2023
Under time series analysis, one proceeds from Fourier analysis to the design of windows, then spectral analysis (e.g. computing the spectrum, the cross-spectrum between two time series, wavelets, etc.) and the filtering of frequency signals. The principal component analysis method can be turned into a spectral method known as singular spectrum analysis. Auto-regressive processes and Box-Jenkins models are also covered.
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