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Detecting Common Signals in Multiple Time Series Using the Spectral Envelope

 

作者: DavidS. Stoffer,  

 

期刊: Journal of the American Statistical Association  (Taylor Available online 1999)
卷期: Volume 94, issue 448  

页码: 1341-1356

 

ISSN:0162-1459

 

年代: 1999

 

DOI:10.1080/01621459.1999.10473886

 

出版商: Taylor & Francis Group

 

关键词: Ambulatory blood pressure;Factor analysis;Fourier analysis;Functional magnetic resonance imaging;Latent roots and vectors;Optimal scaling;Principal components;Random frequency effects;Signal detection;Spectral envelope.

 

数据来源: Taylor

 

摘要:

One often collectspindividual time seriesYjt)forj= 1,…,p, where the interest is to discover whether any—and which—of the series contain common signals. LetYt) =Y1t),…,Ypt))' denote the correspondingp× 1 vector-valued time series withp×ppositive definite spectral matrix fYω). Models are proposed to answer the primary question of which, if any, series have common spectral power at approximately the same frequency. These models yield a type of complex factor analytic representation for fYω). A scaling approach to the problem is taken by considering possibly complex linear combinations of the components ofYt). The solution leads to an eigenvalue-eigenvector problem that is analogous to the spectral envelope and optimal scaling methodology first presented by Stoffer, Tyler, and McDougall. The viability of the techniques is demonstrated by analyzing data from an experiment that assessed pain perception in humans and by analyzing data from a study of ambulatory blood pressure in a cohort of preteens.

 

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