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Activity Number: 83
Type: Contributed
Date/Time: Sunday, August 9, 2015 : 4:00 PM to 5:50 PM
Sponsor: Section on Physical and Engineering Sciences
Abstract #316984 View Presentation
Title: Complex-Valued Time Series for Physical Applications
Author(s): Adam Sykulski* and Sofia Olhede and Jonathan Lilly and Jeffrey Early
Companies: NorthWest Research Associates and University College London and NorthWest Research Associates and NorthWest Research Associates
Keywords: Nonstationary ; Anisotropy ; Spatiotemporal ; Whittle Likelihood ; Ellipse ; Time Series
Abstract:

Complex-valued time series are a natural mechanism for analyzing bivariate data in the physical sciences. In particular, the complex-valued representation provides an elegant way of describing bivariate data that evolves in a circular or elliptical motion over time. Furthermore, complex-valued time series combine naturally with frequency-domain analysis (as complex exponentials are used in any case in the Fourier transform), which then provides a powerful tool for analyzing scale-dependent or nonstationary data. In this talk we focus on the application benefit to both oceanographic and seismic data. Specifically, we discuss how ellipticity and spatial anisotropy can be neatly captured in real world data using complex-valued stochastic processes.


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