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

authored by

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

Organisation(s)

Geodetic Institute

External Organisation(s)

University of Bonn

Type

Contribution to book/anthology

Pages

183-189

No. of pages

7

Publication date

22.03.2019

Publication status

Published

Peer reviewed

Yes

ASJC Scopus subject areas

Computers in Earth Sciences, Geophysics

Electronic version(s)

https://doi.org/10.1007/1345_2019_60 (Access: Closed)

 

Details in the research portal "Research@Leibniz University"