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Time Series
SIAM's Classics in Applied Mathematics series consists of books that were previously allowed to go out of print. These books are republished by SIAM as a professional service because they continue to be important resources for mathematical scientists. Editor-in-Chief Robert E. O'Malley, Jr., University of Washington Editorial Board Richard A. Brualdi, University of Wisconsin-Madison Herbert B. Keller, California Institute of Technology Andrzej Z. Manitius, George Mason University Ingram Olkin, Stanford University Stanley Richardson, University of Edinburgh Ferdinand Verhulst, Mathematisch Instituut, University of Utrecht Classics in Applied Mathematics C. C. Lin and L. A. Segel, Mathematics Applied to Deterministic Problems in the Natural Sciences Johan G. F. Belinfante and Bernard Kolman, A Survey of Lie Groups and Lie Algebras with Applications and Computational Methods James M. Ortega, Numerical Analysis: A Second Course Anthony V. Fiacco and Garth P. McCormick, Nonlinear Programming: Sequential Unconstrained Minimization Techniques F. H. Clarke, Optimization and Nonsmooth Analysis George F. Carrier and Carl E. Pearson, Ordinary Differential Equations Leo Breiman, Probability R. Bellman and G. M. Wing, An Introduction to Invariant Imbedding Abraham Berman and Robert J. Plemmons, Nonnegative Matrices in the Mathematical Sciences Olvi L. Mangasarian, Nonlinear Programming *Carl Friedrich Gauss, Theory of the Combination of Observations Least Subject to Errors: Part One, Part Two, Supplement. Translated by G. W. Stewart Richard Bellman, Introduction to Matrix Analysis U. M. Ascher, R. M. M. Mattheij, and R. D. Russell, Numerical Solution of Boundary Value Problems for Ordinary Differential Equations K. E. Brenan, S. L. Campbell, and L. R. Petzold, Numerical Solution of Initial-Value Problems in Differential-Algebraic Equations Charles L. Lawson and Richard J. Hanson, Solving Least Squares Problems J. E. Dennis, Jr. and Robert B. Schnabel, Numerical Methods for Unconstrained Optimization and Nonlinear Equations Richard E. Barlow and Frank Proschan, Mathematical Theory of Reliability *First time in print.
Classics in Applied Mathematics (continued) Cornelius Lanczos, Linear Differential Operators Richard Bellman, Introduction to Matrix Analysis, Second Edition Beresford N. Parlett, The Symmetric Eigenvalue Problem Richard Haberman, Mathematical Models: Mechanical Vibrations, Population Dynamics, and Traffic Flow Peter W. M. John, Statistical Design and Analysis of Experiments Tamer Basar and Geert Jan Olsder, Dynamic Noncooperative Game Theory, Second Edition Emanuel Parzen, Stochastic Processes Petar Kokotovic, Hassan K. Khalil, and John O'Reilly, Singular Perturbation Methods in Control: Analysis and Design Jean Dickinson Gibbons, Ingram Olkin, and Milton Sobel, Selecting and Ordering Populations: A New Statistical Methodology James A. Murdock, Perturbations: Theory and Methods Ivar Ekeland and Roger Témam, Convex Analysis and Variational Problems Ivar Stakgold, Boundary Value Problems of Mathematical Physics, Volumes I and II J. M. Ortega and W. C. Rheinboldt, Iterative Solution of Nonlinear Equations in Several Variables David Kinderlehrer and Guido Stampacchia, An Introduction to Variational Inequalities and Their Applications F. Natterer, The Mathematics of Computerized Tomography Avinash C. Kak and Malcolm Slaney, Principles of Computerized Tomographic Imaging R. Wong, Asympototic Approximations of Integral O. Axelsson and V. A. Barker, Finite Element Solution of Boundary Value Problems: Theory and Computation David R. Brillinger, Time Series: Data Analysis and Theory
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Time Series Data Analysis and Theory David R. Brillinger University of California at Berkeley Berkeley, California siam Society for Industrial and Applied Mathematics Philadelphia
Copyright © 2001 by the Society for Industrial and Applied Mathematics. This SIAM edition is an unabridged republication of the work first published by Holden Day, Inc., San Francisco, 1981. 1 0 9 8 7 6 5 4 3 21 All rights reserved. Printed in the United States of America. No part of this book may be reproduced, stored, or transmitted in any manner without the written permission of the publisher. For information, write to the Society for Industrial and Applied Mathematics, 3600 University City Science Center, Philadelphia, PA 19104-2688. Library of Congress Cataloging-in-Publication Data Brillinger, David R. Time series: data analysis and theory / David R. Brillinger p. cm. -- (Classics in applied mathematics ; 36) "This SIAM edition is an unabridged republication of the work first published by Holden Day, Inc., San Francisco, 1981" -- T.p. verso. ISBN 0-89871-501-6 (pbk.) 1. Time-series analysis. 2. Fourier transformations. I. Title. II. Series QA280 .B74 2001 519.5'5--dc21 2001034170 Figure 1.1.3 reprinted with permission from E. W. Carpenter, "Explosion Seismology," Science, 147:363-373, 22 January 1965. Copyright 1965 by the American Association for the Advancement of Science. siamis a registered trademark.
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