Bayesian Estimation of Time Series Lags and Structure

Details Bayesian Estimation of Time Series Lags and Structure Bayesian Estimation of Time Series Lags and Structure

2001-11-11

arxiv.org/abs/math/0111127v1

Mathematics

Numerical Analysis

16 pages, 1 figure, MAXENT2001: Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering

Scientific paper

10.1063/1.1477036

This paper derives practical algorithms, based on Bayesian inference methods, for several data analysis problems common in time series analysis of astronomical and other data. One problem is the determination of the lag between two time series, for which the cross-correlation function is a sufficient statistic. The second problem is the estimation of structure in a time series of measurements which are a weighted integral over a finite range of the independent variable.

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