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Non-recursive representation of an autoregressive process within the Magic Square

verfasst von
Ina Loth, Boris Kargoll, Wolf-Dieter Schuh
Abstract

A stochastic process can be represented and analysed by four different quantities in the time and frequency domain: (1) the process itself, (2) its autocovariance function, (3) the spectral representation of the stochastic process and (4) its spectral distribution or the spectral density function, if it exits. These quantities and their relationships can be clearly represented by the “Magic Square”, where the quantities build the corners of this square and the connecting lines indicate the transformations into each other.

The real-valued, time-discrete, one-dimensional and covariance-stationary autoregressive process of order p (AR(p) process) is a frequently used stochastic process for instance to model highly correlated measurement series with constant sampling rate given by satellite missions. In this contribution, a reformulation of an AR(p) to a moving average process with infinite order is presented. The Magic Square of this reformulated process can be seen as an alternative representation of the four quantities in time and frequency, which are usually given in the literature. The results will be evaluated by discussing an AR(1) process as example

Organisationseinheit(en)
Geodätisches Institut
Externe Organisation(en)
Rheinische Friedrich-Wilhelms-Universität Bonn
Typ
Beitrag in Buch/Sammelwerk
Seiten
183-189
Anzahl der Seiten
7
Publikationsdatum
22.03.2019
Publikationsstatus
Veröffentlicht
Peer-reviewed
Ja
ASJC Scopus Sachgebiete
Computer in den Geowissenschaften, Geophysik
Elektronische Version(en)
https://doi.org/10.1007/1345_2019_60 (Zugang: Geschlossen)
 

Details im Forschungsportal „Research@Leibniz University“