Simon Vaughan's Time Series Analysis page

Time series analysis

"It is probably fair comment to say that to many physicists the subject of fluctuations (or 'noise' to put it bluntly) appears rather esoteric and perhaps even pointless; spontaneous fluctuations seem nothing but an unwanted evil which only an unwise experimenter would encounter!"

-- D. K. C. McDonald, in Noise and Fluctuations

X-ray light curve of the Seyfert galaxy NGC 4051

Background:

Useful definitions

Journals:

Time Series groups:

General/statistical

James Theiler (LANL)
David Brillinger (Berkeley, CA)
UMIST Statistics group (home of Prof. Maurice Priestley et al.)

Astronomy

The IAAT group (Tuebingen)
Jens Timmer
The AGN Watch

Time Series Libraries:

A sample of Astronomical Time Series
Time Series Data Library (loads of different types of series)
Econometric Time Series at Economagic
Time Series Library at the University of York

Background info:

The on-line "1/f noise" bibliography
DSP generation of 1/f noise
Is there 1/f noise in prime numbers?
A note on the "colours" of noise

Software:

Statistical codes for Time Series analysis (at Penn State)
TISEAN: Nonlinear time series analysis code

Fourier Transform:

Introduction to the Fourier Transform (FT) at the Image Understanding Lab
Links to FFT pages
Description of the standard FFT algorithm
Signal Processing Information Base SPIB
Notes on signal processing and FTs
Unseful FFT information by Jörg Arndt

Self-organised criticality (SOC):

1/f noise through self-organised criticality (SOC)
Chao Tang's SOC papers

Chaos:

My new Page of Chaos
The Non-linear Lab
The Chaos hypertextbook
See chaos in a Double Pendulum
Chaos in the body: Economist article
Thesis: Erik Olofsen - "The identification of strange attractors using experimental time series"

Maintained by Simon Vaughan (sav2 at star. le. ac. uk)
Last updated: 23/05/2006
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