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Stochastic Difference Equation
In statistics, econometrics and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it is used to describe certain time-varying processes in nature, economics, etc. The autoregressive model specifies that the output variable depends linearly on its own previous values and on a stochastic term (an imperfectly predictable term); thus the model is in the form of a stochastic difference equation (or recurrence relation which should not be confused with differential equation). Together with the moving-average (MA) model, it is a special case and key component of the more general autoregressive–moving-average (ARMA) and autoregressive integrated moving average (ARIMA) models of time series, which have a more complicated stochastic structure; it is also a special case of the vector autoregressive model (VAR), which consists of a system of more than one interlocking stochastic difference equation in more than one evolving random vari ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Moving-average Model
In time series analysis, the moving-average model (MA model), also known as moving-average process, is a common approach for modeling univariate time series. The moving-average model specifies that the output variable is cross-correlated with a non-identical to itself random-variable. Together with the autoregressive (AR) model, the moving-average model is a special case and key component of the more general ARMA and ARIMA models of time series, which have a more complicated stochastic structure. The moving-average model should not be confused with the moving average, a distinct concept despite some similarities. Contrary to the AR model, the finite MA model is always stationary. Definition The notation MA(''q'') refers to the moving average model of order ''q'': : X_t = \mu + \varepsilon_t + \theta_1 \varepsilon_ + \cdots + \theta_q \varepsilon_ = \mu + \sum_^q \theta_i \varepsilon_ + \varepsilon_, where \mu is the mean of the series, the \theta_1,...,\theta_q are ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Time Constant
In physics and engineering, the time constant, usually denoted by the Greek letter (tau), is the parameter characterizing the response to a step input of a first-order, linear time-invariant (LTI) system.Concretely, a first-order LTI system is a system that can be modeled by a single first order differential equation in time. Examples include the simplest single-stage electrical RC circuits and RL circuits. The time constant is the main characteristic unit of a first-order LTI system. In the time domain, the usual choice to explore the time response is through the step response to a step input, or the impulse response to a Dirac delta function input. In the frequency domain (for example, looking at the Fourier transform of the step response, or using an input that is a simple sinusoidal function of time) the time constant also determines the bandwidth of a first-order time-invariant system, that is, the frequency at which the output signal power drops to half the value it has ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Philosophical Transactions Of The Royal Society
''Philosophical Transactions of the Royal Society'' is a scientific journal published by the Royal Society. In its earliest days, it was a private venture of the Royal Society's secretary. It was established in 1665, making it the first journal in the world exclusively devoted to science, and therefore also the world's longest-running scientific journal. It became an official society publication in 1752. The use of the word ''philosophical'' in the title refers to natural philosophy, which was the equivalent of what would now be generally called ''science''. Current publication In 1887 the journal expanded and divided into two separate publications, one serving the physical sciences ('' Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences'') and the other focusing on the life sciences ('' Philosophical Transactions of the Royal Society B: Biological Sciences''). Both journals now publish themed issues and issues resulting from pap ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Gilbert Walker (physicist)
Sir Gilbert Thomas Walker (14 June 1868 – 4 November 1958) was an English physicist and statistician of the 20th century. Walker studied mathematics and applied it to a variety of fields including aerodynamics, electromagnetism and the analysis of time-series data before taking up a teaching position at the University of Cambridge. Although he had no experience in meteorology, he was recruited for a post in the Indian Meteorological Department where he worked on statistical approaches to predict the monsoons. He developed the methods in the analysis of time-series data that are now called the Yule-Walker equations. He is known for his groundbreaking description of the Southern Oscillation, a major phenomenon of global climate, and for discovering what is named after him as the Walker circulation, and for greatly advancing the study of climate in general. He was also instrumental in aiding the early career of the Indian mathematical prodigy, Srinivasa Ramanujan. Earl ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
