Stationary: Time Series

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NINE
stationary time series
Summary
Largelythroughthe impetusof NorbertWiener,statistical

communication
theoryhasemphasized the generalized
harmonicanalysis,or spectralrepre-
sentation,of a time serieswhich resultsin its representation
in termsof its
harmonic,or sinusoidal,components. This chapter,on the other hand,
developsin an expositorymannerthe generalized regressionanalysis,or
innovationalrepresentation,
of a time series.This representationgivesthe
timeseries
at anymomentasthesumof twocomponents. Thefirstcomponent
istheoutputof a minimum-delay filtersubject
to a white-noise
input,which
constitutesthe innovations.The secondc•mponentis a purely deterministic
timeseries.
For a purelynondeterministic
timeseries,
thissecond
component
is absent.
Introduction
There are two basicapproaches

to treatingdata observedin nature, and
in particular
thedatarepresented
on a seismogram.
Oneis the deterministic
approach andtheotheristhestatistical
approach.
Manypeoplethinkofthese
213
214 Stationary ]•ime Series
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twoapproaches
asconflicting,
but actuallythisis not thecase.Investigations
and experiments
in manydifferentsciences indicatethat eachapproachis
fundamentallyequivalentto the other.
The approachin classical
seisinology
hasbeenalmostexclusively deter-
ministic.In thisapproachdeterministic
methodsare usedto investigate laws
connecting seismological
phenomena. Theselawsareconsidered to be precise
in actioneventhoughthe observations on the quantitiesinvolvedmay be
inaccurateand are certain to be incomplete.
On the other hand, the statisticalapproachutilizesquantitiesin the
form in which they axe observed.Distributionsand statisticalfunctionsof
thesequantitiesare examinedin suchcombinations asonechooses. Of course,
one has considerablefreedom in the selectionof the quantitiesthat are to
form the subjectof a statisticalinvestigation.
Actually,in an ideallycomplete
survey,one shouldinvestigateall possiblestatisticalparametersand combina-
tionsof parameters, not merelya selectionfrom amongthem.Unfortunately,
suchan undertakingwouldbe impossiblebecauseof its sheermagnitude.
Therefore,in a statisticalinvestigationoneshouldlook for groupsof
parameterswhichare connectedwith eachotherby rigid dynamiclawsand
with the nature of the desiredinformation. For sucha group, someof the
parameterswould be determinedby a knowledgeof the remainingones,
and the dynamicswould be expressedas a statisticalfact. If the dynamicsare
not so expressible, one can concludeeither that a suffidentnumberof the
significant.statisticalparametershavenot beenconsidered to givea true pic-
ture of the situation,or that theseparametershavebeenobservedso inaccu-
rately that they cannot give the true picture.
It is unlikely for a significantdynamicrelationshipnot to be brought
out by a properstatisticalexaminationof the relevantquantities.In fact, if
certainsimplifyingassumptions haveto be madein thederivationof dynamic
lawsby a deterministicapproach,it is frequentlythe casethat the statistical
approachactuallyyieldsmoic information.
ß
The Basic Problems
Exploration seismologycan be broken down into logical steps,which are

presentedgraphicallyin Figure 9-1. We seethat thereare two mathematical
approachesfor the treatment of data, the deterministicapproachand the
statisticalapproach.The deterministic approachconsistsof utilizingphysical
theoriesof wavepropagationinvolvingthe solutionsof integralanddifferen-
tial equations satisfyingboundary and initial conditions. The statistical
approachconsistsof utilizing statisticaltheoriesof time seriesleadingto the
expression of the dynamicsasa statisticalfact.The basicproblemsof seismic
researchwill neverbe all solved,but nevertheless significantstepshavebeen
taken in that direction.
The Introduction of Statistical Methods to $eismolog¾ 215
Physical Data Treatment of data

situation
Deterministic Statistical
,,.
_ .; Seismic
waves Physical Statistical
.• '= from an Seismogram theories on
theories on
• • impulsive traces wave
time series
-=E source propagation
.
..
Solutions of Dynamic and

• =- '
o <•lnterpretation
of Reflection
and refraction integraland
differential
probabilistic
characteristics
r• •
...
structure time
determinations equations of the traces
Figure
9-1.Deterministic
andstatistical
approache•
toseisinology.
Briefly,
thebasic
problems
dealwiththedetermination
of(1)statistical
methods
adequatetoseparate
desired
information
fromthetotalinformation
present
ontheseismogram,
(2) therelationship
of desired
information
in
statisticalform with significantseismologic
variablesand the geologic
structure,
and (3) the interrelation
of the deterministic
and sta•tistical
approaches.
The Introduction of Statistical Methods to Seisinology
Thissection
dealswiththefirstbasicproblem,
thedetermination
of statistical
methods
adequate
toseparate
desired
information
fromthetotalinformation
present
ontheseismogram.
Weconsider statistical
methods because
a seis-
toogram
asrecorded
isa statistical
timeseries,
andallthetraces
ona seismic
recordconstitute
a setof multipletimeseries.
Thissetof multipletimeseries
istieddownto a specific
originin time,thetimeof sourceinitiation.
Time
series
withsucha timeorigindependencearecallednonstationary,
asopposed
tostationary
timeseries,whicharenotlinked toa specific
originin time.
Statistical
researchin seisinology
is concernedwith theevaluation of
valid.
statistical
methodsin orderto obtainthegoalsetforthin thefirstbasic
problem.
Oneofthemost
useful
statistical
methodsistheapplication
oflinear
operators
to seismic
records.
Themethod of utilizing
linear
operators
is
mathematically
equivalent
tothesolution
ofasystem
ofdifferential
equations
inspace
andtime,
butismore
powerful
inthatit cancope
effectively
with
disturbing
influences
of a random
or quasi-random
nature.
Bytheuseof .
216 Stationary Time Series
linear operators,the dynamic elementsof the physicalsituation can be

broughtinto sharpfocusand disturbingelementssuppressed.
As an approximatemethodof treatingthe nonstationaryphenomenon
represented by a seismogram, the recordis dividedinto time intervalswhich
may be consideredapproximatelystationary.The tracein a giventime inter-
val, whichwe shallcall the timegate,canbe usedto determinean optimum
linear operator for this interval. This linear operator contains,inherently,
the dynamiccharacteristics of the tracein the time gate.
One type of linear operatorthat may be used is a œredictionerror
ot•erator.Suchan operatorproducesthe error betweena trace and its pre-
dictedvalue, wherethe predictionis basedon past valuesof the trace.The
past valuesusedas a basisof predictionare alwaysthe actual valuestaken
from the seismicrecord,and are not previouslypredictedvaluescorrespond-
ing to theseactualvalues.Hence,the input into the operatoris alwaysrepre-
sentativeof the seismogram at any givenpoint. The operatoris usedto find
the predictionerrors over the lengthof the seismicrecordin which we are
interested.Becausethepredictionerroris definedasthe differencebetweenthe
predictedvalueand theactualvalueof thetrace,thiserrorgivesa measureof
the innovationalstructureof the seismogram. We usethe word "innovation"
in the sense.thatlow error, or goodpredictability,indicatessmallinnovation,
and largeerrorindicatesconsiderable innovation,at that instant.Eachpredie-
*donerror operatorgeneratesa sequence of errorsthat forms a time series,
which we may call the •rediction error time series.An investigationof these
error time series,as we shallsee,exposes the innovationsas a statisticalfact.
Such information about the innovational characteristics constitutes desired
information.
The Relationship of Statistical Information

to Geologic Information
Once the innovati0nal characteristicsof a seismicrecord are renderedby

statisticalmethodsinto a usableform, the next problem is to translatethis
statisticalinformationinto meaningfulgeologicinformation.This makesup
the secondbasicproblem of seismicresearch.By computinglinear operators
over differentsectionsof the record,it is.found that the error of prediction
givesa measureof the reflectioncoef•cientsof the subsurfacegeologicinter-
faces.Therefore,by examiningeithererror time seriesor statisticscomputed
from theseerror time series,one is able to pick off the arrival of reflected
energyat placesof higherror. Sucha procedureof analysishasbeenfoundto
'havetwo advantages'(1) the qualitativecharacteristics
of reflections
are
better defined,and (2) quantitatively,more reflectionsmay be distinguished
than by visualinspectionof the raw seismogram. Many illustrationsof these
conceptsare given in the next threechapters.
Time-SerJe• AnalyM• 21 7
.•Theproblemsto beexploredin thisdirection

includea morecomplete
analysis
of thereasonwhythedynamics of theseismograms changeasthey
do. Varioustypesof operatorsmightbe exploredto determinewhich
types.aremoresensitive to thelocation anddiscriminationof reflections.
The variablesthat comeunderconsideration maybe subdivided into geologic
variables,instrumentalvariables,and mathematical variables.The geologic
variablesincludesuchfactorsas undergroundstructure,physicalconstants
of the earth,and sourceeffects.Instrumentalvariablesincludegeophon½ lay-
outsand response characteristics
of the instrumentsused.Mathematical
variablesincludetheparametersof thelinearoperatorandthe statistics
used
to characterizethe time seriesunderconsideration.It is necessaryto investi-
gatetheeffects
of all thesevariables
andto optimize
thoseunderourcontrol.
The Interrelation of the Deterministic

and the Statist/ca/Approaches
The third basicproblem,theinterrelation

of the statistical
anddeterministic
approaches, is fundamental and alsothe mostdifficult.One methodof
approach is the following.We are givena physical
situationthat canbe
treatedbyexactphysicaltheory,suchasthelayered
modelof theearthunder
certainsimplifying
assumptions.Fromsucha modela theoretical time-series
analysiscanbecarriedout.In particular,
theformof suchstatistical
functions
as the autocorrelationand the crosscorrelation
can be derivedfrom the phys-
ical situation.
Another method of approachis to determinewhat makes up the
predictable
component of theseismogram traces
in termsof finite-difference
approximationsto thewaveequation. Thedegree of predictability
is inti-
matelyrelatedto the stabilityof the wave-equation
operators.The stability
of thesefunctionsdependsuponthe type of nonstationary
time seriesgen-
eratedby thegeologicsituation.
The nonstationary characterof thesetime
seriesmeansthat any differentialequationwhichis setup to explainthis
phenomenon hasvariablecoefficientswhichdepend eitherupontimeor upon
thephenomenon itself.For optimumresults thesolutionof theproperwave-
equationformulation
mightbeincorporated intothepredictionmechanism.
Time-Series Analysis
We shallnow presentsomeconcepts
from the theoryof stationarytime
series.-We are concernedchiefly with stating definitions and important
theorems,and we shall by no meanspresenta completesummaryof the
theoryof time-series
analysis.
Thosereaderswho are familiarwith these
concepts
wepresent heremayproceed directlyto ChapterlOwithoutlosing
continuity.
The concepts givenin thissectiondependuponthe assumption that

the time seriesis stationary.A time seriesis said to be stationaryif the
probabilities
involved arenotfleddownto a specific originin time,andif'the
seriesis conceivedto mn from minusinfinity to plus infinity in time.
Theparticularfeaturethatmakestheapplication of traditionalstaffs-
tical methodsto time seriesdifficultis the absenceof independence between
successiveobservations.Thislackof independence between successive
obser-
vations is the fundamental characteristic of a time series. In the time series
observedin nature, suchinterdependence
is causedby neithercompletely
randomnor completelydeterministicfactors,but insteadthe motivating
factors lie somewhere between these two extremes.
As a result,the most directprocedurein the analysisof time seriesis
onethat exploitsthe lack of independence betweensuccessive observations.
Theuseof an operatorthat depends uponthe interdependence of'observa-
tions in the time seriesis one suchprocedure.Operatorsmay be linear or
nonlinear.Sincethe conceptof'linearitythat is usedis of the mostgeneral
typeandincludes a widerangeof timeseries,we dealwith linearoperators
almostexclusivelyin this book, althoughconceivablythe use of nonlinear
operatorsmay someday prove of greaterapplicabilityto seismogram
analysis.
As an introductionto the conceptof a linear operator, we shallcon-
siderthe pure sineseriesu• of angularfrequencyCOo,
u• = A sin(•Oot+ O)
whereA is amplitudeand 0 is phase.

Such a seriesis completelydeterministic,for it containsno random
element.As a result, there existsan identity connectingthree consecutive
observations,which is given by
The constanta is equalto 2 cosCOo At and the constantb is equal to --1.

The constantsa and b constitutea linear operator whereby,from two con-
secutivevaluesof the time series,all future valuesmay be obtained.It should
be notedthat the constantsa and b of the linear operatorare independentof
thephaseOof thesineseries.
Hence,thelinearoperator
revealsthestationary
characterof the sineseriesin that the operatoris not tied down to any parti-
cularoriginin time.Also,the operatoris independent
of the amplitude•,
whichmeansthat it is independent
of the measurement
usedin the observa-
tions. Therefore we seethat the linear operator representsan intrinsic prop-
ertyof thesineseries,
andit is notlinkedto thetimeoriginor scaleof the
individualobservations.
Theseproperties
of a linearoperatorcarryoverfor
a largegroupof functions
otherthansinesandcosines.
.The Relationship of the Linear Operator and the Autocorrelation
Suchan operator,whichis linear,invariantwith respectto the originin time,

and dependentonly on the past historyof the time series,is the type that
Wiene?consideredin his theory of predictionfor stationarytime series.He
approximated the futurevaluesx,., of thetimesseriesby applyinga linear
operatork• to the pastvaluesx,_• by meansof the expression
The linear operator k• is determinedby minimizingthe mean squareerror,

whichßis given by
r-.•.2T+ 1,--re( x,+. - -

k,x,_, ) (9-4)
Utilizing thecalculusof variationsfor thisminimizationprocess,he obtained

the normal equations
5• k,•,_, = •,+. for • >_0 (9-$)
Here •, is definedby
•, = lira
v-.-.2T 1 Y• x,+•,
-3-lt--r (94)
and is called the autocorrelation function. Hence, equation (9-5) tells us

that the predictionoperatork, is determinedfrom the autocorrelationfunc-
tion•. Theautocorrelation
functionrepresents
theintrinsicdynamicproper-
ties of the time series.
The Spectrum
The fundamentaltheoremof generalized

harmonicanalysis,due to Wiener,
relatestheautocorrelation
function•J•witha monotone-nondeereasing func-
tion A(co).More precisely,if the autocorrelation
function•b•exists,there
existsa monotone-nondeereasing functionA(co)whichisgivenby theFourier
transform
•, = • e'• an(co) (9-z)

We saythat the functionA(co)is a monotone-nondeereasing
function,instead
of a monotoneincreasing function,becausetheremaybe plateaus.
219
220 Stationery Time Series
Thefunction A(co)is calledtheintegratedspectrumof xt, andrepre-

sentsthe totalpowerin thespectrum of x, between
thefrequency co-----
--n
and the frequency w. The integratedspectrum A(a0 may havea seriesof
jumpsor othersingularitiesif thereareexactfrequencies
or spectrallinesin
the time seriesx,. Otherwise,A(co}will be absolutelycontinuous, and thisis
the usualeasemet in applications.
If A(co)is absolutelycontinuous, its derivative,A'(o•)----•b(o•),is
calledthepowerspectrum of thetimeseriesxt. We maythenwritethe Fourier
transform
= (os)
and, in the caseof simplefunctions,the inversetransform
Sincein thiscase,bothtb,andq)(w)areevenfunctions,
we mayrewriteequa-
tions (9-8) and (9-9) as
cos
oox
doo (9-•0)
and
(9-11)
Thus, the autocorrelationfunction gives information about xt, which is

equivalentto the informationgivenby the spectrum.More precisely,infor-
mation aboutthe amplitudesof thefrequencies of x, is preserved,and infor-
mation about the phasesof the individual frequenciesis lost, both in the
autocorrelationfunction and in the spectrum.
By settingz -----
0, equations(9-6) and (9-8) reduceto
•o=r-.-
lira 2T 1 •,rx,:=
+ 1,--
Hence,we seethat the total powerin the spectrumis givenby •0. The cus-
tomary statisticalpracticeis to normalizethe autocorrelationfunctionand
spectrumby normalizingxt sothat it haszeromeanandunit variancein the
time-average
sense.
Then•0 = 1 andI•,[• 1, andthe totalpowerin the
spectrumis equalto 1.
The Relationship between the Autocorrelation

and the Spectrum
W...•.e
shallnowgivefourexamples
illustrating
therelationship
as givenin
equations(9-10) and (9-11) betweenthe autocorrelation
functionand the
spectrum.
The firstexampleis thatof thepure•ine•eHesgivenby equation(9-1).
This seriesis completelydeterministic,for it containsno random elements.
Tlie normalizedautocorrelation
of thisseries,computed
from equation(9-6),
is given by
cos (.o-15)
which is an undampedcosinewave. ClassicalFourier seriesmethodsshow

that the spectrumis a line spectrumin whichall the poweris concentrated at
the frequencyCOo.
This exampleallowsus to give a heuristicinterpretationto the rela-
tionshipbetweenthe autocorrelation functionand the spectrumgivenin
equation(9-10). Considerthe spectrum•(co) of an arbitrarytime seriesxt.
Each smallband of frequenciesbetweencoand coq- dcoactswith the differ-
ential power(b(co)dco.In view of equation(9-13), the differentialtransform
of the smallband of frequencies is givenby •)(o•) cosco•do•.This differential
is the contributionof the smallband of frequenciesbetweencoand coq- dco
to the autocorrelationfunction. Summingthesedifferential transformsfrom
co= --g to co-----=z,we obtainthe integralfor the autocorrelation •, given
in equation(9-10).
The secondexampleis that of a randomseries.A random seriesis
conceived
to havea white-lightspectrum;
that is, the spectrum
is givenby a
rectangulardistribution.Let the spectrumbe
for the range given by --g < o• • g, and let •(co)= 0 for values of co
outsidethisrange.Then the autocorrelation
is givenby
•'= 10
ira:
ifa:•----
0
0 or •, = •, (9-15)
where8, istheKronecker
deltafunction.
Sucha random
series
iscalledan
uncorrelatedseries,or whitenoise.
The third exampleis the caseof purepersistence
in a time series,and
221
is takenfrom Yaglom(1962,p. 57).In thiscasethe autocorrelation

function
is givenby the exponential
•, = ca% c > O, !a] < 1 (9-16)

and the spectrumby the curve
1 -- a z
(9-17)
(I)(c.o)
-----
c[1._.ae_t,
[2
Hence,we seethat all frequencies existin the range
The last examplealsocomesfrom Yaglom(1962,pp. 58-59), and is
the casein which the autocorrelationis the weightedsum of the autocor-
relations(9-15) and (9-16) givenby
•, = (a-- b)(1-- ab)a•,•+ ba 8'

a(1 -- az)
(•-18)
where[a] < 1 and[b] < 1. Then the spectrumis givenby the curve
The Relationsh/p between the L/near Operator

and the Crosscorre/at/on
The discussion to thispoint hasconcerned itselfwith the statisticalproperties

of a singlestationarytime seriesx,. We now wishto extendtheseconcepts
to the casewherewe have multiplestationarytime series.
A linear operatorfor thiscaseis definedin a way analogousto the case
of singletime series.It predictsthe future of one time seriesfrom its past
valuesand the past valuesof the other time series.The minimizationof the
mean squareerror for the generalcasewas carriedout by Wiener (1949).
It was shownthere that the linear operatordependsonly on the autocorrela-
tion and crosscorrelations of the time series considered. The crosscorrelation
functionis a propertyof two time series,x:• and x:,, and is definedin a way
similar to the autocorrelationfunction by
•:a(Z)r...,,o
lira
=
2T 1
+ X l,r+,eX'2,r
The crosscorrelationbetweenxz, and x x, is definedas
•2I(T)= r-..2T+
liTrl 1 '1r•X2,r+•Clr
--r
The Cross-Spectrum 223
From the definitions(9-20) and (9-21) it followsthat
In statisticalpracticethe crosscorrelation
function is usuallynormalized
by lettingboth x• and x• havezero meanand unit variancein the time-
average sense.Then we have I•:(z)l_< 1 and I•::(•)]• 1. Using the
Schwarzinequality,we havethe desirednormalizationof the crosscorrela-
tion, whichis [•:z(z)[ • 1.
The*Cross-Spectrum
The crosscorrelation
function•:(;) of x•, and x2, may be expressedas the
Fourier transform
•::(•) = e"'(I),:(co)dco (9-25)
Here •::(co) is definedto be the cross-spectrum

of x•, and x:,. In the_ease
of
simplefunctions,the inversetransformmay be writtenas
(9-24)
In general,the crosscorrelation
function•J•:(•) is not an evenfunctionof •,
and henceequation(9-24) tellsusthat thecross-spectrum •:(co) hasreal and
imaginaryparts. Equationsanalogousto (9-23) and (9-24) hold for the
crosscorrelation•(z) and the cross-spectrum •(co) between the time
seriesx:, and x tt. From thesexelationswe find that
ß ,:(•) = •:*,(co) (9-25)
where the asterisk indicatesthe complex conjugate.

Sincethe cross-spectrum
•:(co) is a complex-valued
functionof the
real variableco,we may write
(I):,((o) = Re [(I),:(co)]+ i Im [•, :(co)]
whereRe [{I)•2(eo)]
designates
the real part, and Im [•:(c.o)] designates
the
imaginarypart, of the cross-spectrum.We may also expressthe cross-
spectrumby
= e (9-27)
224 Stationary Time Setice
Here [•(ro)[ designates

the absolutevalue of the cross-spectrum,
and is
givenby
I(1)•,.(r.o)
[ = •/[Re (1)•(r.o)]
• q- [Im((I)•)]•' (9-28)
The argumentO(ro)of the cross-spectrum
is a functionof the frequency
and is given by
0(to)
=tan-'
[tm
Re (I)t z(r.o)J
Let the spectrumof x•, be • •(ro)and the spectrumof xa, be •b22(c•).It can
be shownthat the absolutevalueof the crossseetrum is lessthan or equalto
the geometricmean of the individualspectra;that is,
Hence,we seethat the cross-spectrum

preservesat most only the common
frequenciesof x•, and
The matrix
is calledthe coherency matrix. In order for x•, and xz, not to be completely
dependentupon eachother, the determinantof the cohereheymatrix must
be positivefor all frequencies.That is, the coefficientof cohereheyX•,.(co)
definedby
must have absolutevalue[X•z(ro)l lessthan 1 for all frequencies. In other

words,for two nondeterministicstationarytime series,the Fourier seriesin
exp (--ico) with Fourier coefficientsthat are the crosscorrelationof their
autocorrelationsmust exceed almost everywherethe Fourier series in
exp (--•co)with Fouriereoeffidents
that are the autoeorrleation
of their
crosscorrelation.
Let usconsider two observational
finitetimeseriesx•,, wherej.'----1, 2
and t -- 0, 1,..., n. If oneassumesthat x•, vanishes
outsidethistimerange
and estimatesthe spectraldensitiesby
flaen
•e deteminant
of•e coherency
•tfix willvanish
identi•yin•.
In o•er words, •e estimation fomula above for•s the two time seriesto
be completelycoherent. •is u•omnate situation is frequentlyrolled
Ensemble A vereges and Time Averages 226
$impson'sparadox.
Theresolution
of theparadoxisthatunderthehypothesis
that two observationaltime seriesare not completelycoherent,one should
utilize formulasthat provideestimatesof the theoreticalcoherencywhich
actuallyexistsbetweenthetwo time series.
The conceptof coherencyis an importantonein the studyof seismic
records.Computationsindicatethat seismictraces are more coherenton
the averagein an intervalcontaininga major reflectionthan in an adjacent
nonreflectioninterval.Thiscoherencypropertyof reflectionsassiststhevisual
detectionof reflectionson a seismogram, and hencemay be exploitedin the
detectionof weak reflectionsby statisticalmethods.
In closingthis section,whichdealswith concepts from the theoryof
stationarytimeseries,wementionthefollowinginteresting example.Consider
thepurely. randomseries u•, ua,us,... andthepurelyrandomseries v•, va,
rs,. ßß, in whichthevt seriesis definedby therelationship •,, ----u,_•.Thenit
is seenthatthe crosscorrelation of thetwo seriesis zeroeverywhere except
at thejth lag,wherethecrosscorrelation is equalto I. Suchan exampleillus-
tratesthe value '• the crosscorrelation
functionto determinephaserelation-
ships.
Ensemble Averages and Time Averages
The techniquesthat we presentin this chapterhave provento be oœgreat

..
valuein many applications.The linear systemsfor predictionand filtering

describedhereare basicto filter theory and must be known to thosewho wish
to designmore complicatedsystems.In treating the discretetime case,we
retain the fundamentalideasinvolvedin the continuoustime case,and yet
are ableto keepthe mathematicalargumentat a relativelyelementarylevel.
Any observationaltime seriesxt(--co < t < co) may be considered
to be a realization of a randomprocess,or stochasticprocess, which is a
mathematicalabstractiondefinedwith respectto a probabilityfield. For any
stochasticprocess,one may form averageswith respectto the statistical
populationor ensemble of realizationsxt for a fixedvalueof time t. Such
averages
arecalledensemble averages,andwe shalldenotesuchan averaging
process
by the expectation symbolE. If the meanvaluem = E(x•) and the
(unnormalized)autocorrelationcoefficients
= E(x,+,x,)
are finite and independentof t, the processis calledstationaryin the wide

sense,or second-orderstationary,or covariancestationary.Without'lossof
generalitywe assumeE(x,) to be zero. There is anothertype of average,
known as the time average,in which the averagingprocessis carried out
226 Stationery Time Series
withrespect
toallvalues
oftimet forafixed
realization
x•(--oo• t • oo)
of the stochastic
process.For a largeclassof stationaryprocesses,
called
ergodieprocesses,
ensemble averagesand the correspondingtime averages
areequalwithprobability1. Consequently,
theautocorrelationof anergodic
processmay be expressedas the time average
r-,- 2T +'i .-
taken over a singlerealizationof the time seriesx,. The autocorrelationfunc-

tion is a nonnegativedefinite function; that is,
$--0"
for any n and any sequenceof (real) constantsao,a,,az,..., a,. The non-
negativedefinitenessproperty of the autocorrelationis mathematically
equivalent to the monotonic-nondecreasing property of the integrated
spectrumA(o•).
Linear Predict/on
Let us definethe randomvariable.•,+, to be the linearleast-squares

predic-
tion of x,+, in termsof the completepast..., x,-2, xt_•, xt of the time series
up to time t. That is, 2,.• is givenby equation(9-3), which is
•'+'=,-•o
•,x,_, (9-•)
whereko, k•, k•,... is the predictionoperator,with Fourier transform
•-0
The predictionerror at time t 4- ß is definedas

The predictionoperatoris determinedby requitingthe mean square
predictionerror, given by expression(9-4), to be a minimum. In terms of
the ensembleaverage,expression(9-4) becomes
=•.= •[(x,.. - e,+.)=]:• le'- - g(o•)I

• a^(•o) (9-s4)
The x, processis calleddeterministicif a] = O, in which casethe future
3:,+.is completelydeterminedfrom the remotepastx,, x,_•,..., where
Whit• Noi$• 2•?
is.:...allowed
toapproach
minus
infinity.
Theprocess
iscalled
nondeterministic
if:•} > O,in whichcasethefuturecannotbe completely
determined
by a
linear operationon the past.
White Noise
Two real randomvariablesx andy with finitevariancesare saidto be uncor-

relatedif E(xy)= E(x)E(y),orthogonalif E(xy)= O,andorthonormal if
E(xy)= O,E(x•) = 1, andE(yz) = I. A mutuallyuncorrelatedprocess is a
stationaryprocessfor whichthe observations
e, are uncorrelated
in pairs;
that is, E(e,e,)= E(e,)E(e,)for t notequalto s. In whatfollowswe shall
consideruncorrelatedvariablesto be normalizedsuch that E(e,)= 0 and
E(e•) = 1, in whichcasethee, formsan orthonormal
sequence
of random
variables.As we haveseen,the autocorrelationof the e, processas givenby
equation(9-15)vanishes
exceptforzerolag,andthepowerspectrum asgiven
byequation (9-14)isconstant
fortheinterval(--•, •). These processes
there-
forehavefiatspectra,
andtheyarecalledwhitenoise. If thee,areindependent
randomvariableswith the sameGaussianprobabilitydensityfunction,then
e, is (discrete-time
parameter)
Brownianmotion.
Givena white-noise
process
e,, the corresponding
process
of moving
summation is defined as
x, '-'- • c,e,_, (--oo < t < oo) ' (9-35)
It issupposed
thattheoperator
c,isstable,
thatis,•7--- c,• < co.Themean
of thex, process
iszeroandtheautocorrelation
coefficientsaregivenby
Let C(o0be theFouriertransform

of thefiltercoefficients
c,. Thenit may
be shownthat the powerspectrum
•(co) of x, is givenby
(ro) = i c(co)I
Letusinterprettheseresults.
Equation (9-35)isin theformof a stable
two-sided
filter,wherethewhitenoisee, is the inputandthe timeseriesx,
istheoutput.Thetransfer function of thislinearsystem is C(co).
Thesquare
ofthemagnitude spectrum ofthisfilter,thatis,[C(co)[•,
isthepowerspectrum
ß(co)ofthetimeseriesx,.Since,ingeneral, thefilterc,istwo-sided, thisfilter
is notnecessarily
causal.We nowwishto investigate theconditions under
whichthefiltercoefficients
c•maybereplaced in equation(9-35)bya unique
228 Stationary Time $erie#
minimum-delay
filterb,. That is,wewantto finda filterb, whichis stable,
causal,and hasminimumphaselag.
The Problem of Spectral Factorization
From a realization of a stationarytime seriesx• we may computethe

autocorrelation
function•, as a timeaverageby meansof equation(9-6)
andthenthepowerspectrum 4)(m)asthe Fouriertransformof the auto-
correlation,
asgivenby equation(9-9).As wehaveseen,thepowerspectrum
isequalto thesquaredmagnitude spectrumof a linearfilterintowhichwhite
noisee,ispassed
in orderto obtainthetimeseriesxt asoutput. Thus,weknow
thatthemagnitude
spectrum
ofthisfilterisequal
to•/4)('•0).
Nowany.
filter
withthismagnitude
spectrum,
andwitharbitrar•phasespectrum,
wouldbe
an admissible
systemto describethe time seriesx,. However,let us specify
that the particular
filter whichwe desireis onethat is causalandstable,
with minimumphaselag. In otherwords,we desirethe minimum-delay
filter,withmagnitudespectrum •/•(•) andphase spectrum0(c0).Thephase
spectrum 0(•) mustbedetermined in such
a waythat--0(to)isa minimum
in theclassof all causalfilterswiththegivenmagnitude spectrum •/•1)(o•).
Thus,thetransfer functionB(o•)of thedesiredfiltermaybe expressedas
whereO(oO
is thedesired
phasespectrum
andthesetbo,b•,ba,... arethe
desired
minimum-delay
filtercoefficients.
Theproblemof factoringthepower
spectrum
•(co)is theproblemof expressing
thepowerspectrum
as
= I
whereB(co)is thetransferfunction
of thedesired
minimum-delayfilter.
Let us firstconsidera special
case,namelya moving-average
(MA)
processx,.AnMA process
isa stationary
process
forwhichtheautocorrela-
tion{, vanishes
forz greater
thanm.Thus,itspowerspectrumis
If we let z ----e-t=, we see that
so
The Problem of Spectral Factorization 229
is a polynomialof degree2m. Sincewe aredealingwith real-valuedprocesses,

it follows that •(co) is a real function of co, so that if z, is a root of this
polynomial,thenz•*-• is alsoa root. Moreover,since•(co) is an evenfunction
of to, it follows.thatif zk is a root of thispolynomial,then z** is also a root;
seeRobinson(1954, Chap. 2)for proofs of these statements.Since
is a nonnegativefunction of co,it followsthat any root of modulus 1 must
appearan evennumberof times.Let y, andy**denotethe complexrootsof
the polynomialz'•(z) with modulusgreaterthan 1, and also half of those
complexrootswith modulusequalto 1. Similarly,let ,o•denotethe realroots
of this polynomialwith modulusgreaterthan l, and alsohaft of thosereal
roots with modulusequal to 1. Thus, this polynomialmay be factored into
whereany root of orderp is repeatedp timesand where2h q- 1 ----m. Let us

denotethe first factor in bracketsin equation(9-37) by B(z); then the second
factor in bracketsis seento be z•B(z - •). We seethat B(z) is a polynomial.in
z with real coefficients,and so we may representB(z)•by boq- b•z +'... +
b,z •. Moreover, we seethat B(z) hasno zeroswithin the unit circle.In those
casesin whichthereare no ?, and p• of modulus.
one,the polynomialB(z)
has no zeros within or on the unit circle and hence is the z transform of a
strictlyminimum-delayfilter. The coefficients bo,b•,..., b• of thisminimum-
delay filter are the requiredfilter coefficients.
Suppose,on the other hand,
that we did not choosethe roots of the polynomialz•(z) in the foregoing
fashion. Becausethere are at most 2• different ways of choosingthe roots,
then B(z) would have roots, some of which have modulusgreater than 1,
and some of which have moduluslessthan 1. Consequently,the filter B(co)
woul&not be minimum-delay.
Let us now consideranotherspecialcase,the caseof an autoregressive
(AR) t•rocess.The power spectrumof an AR processmay be describedas
follows.The reciprocalof an AR powerspectrumhasthe samemathematical
form as an MA power spectrumwith no rootson the unit circle.That is, the
ß
reciprocalof an AR powerspectrumhasno rootsy, and p• of modulus1.

Accordingly,the reciprocalof theAR powerspectrum maybe factoredin the
sameway into the form IA(c0)I•, where the polynomialA(z) has no zeros
within and on the unit circle.We note that the reasonthat A(z) can have no
zeros on the unit circle is that •(co) is integrableon the interval (--•, x).
Thus,thepowerspectrum•(co) of theautoregressive processmay be factored
as {l•c•) = lB(co)12,wherethe factorB(co)is the reciprocalof •l(co),and,like
A(co),isminimum-delay.
ThefactorB(co)isthetransfer
functionof thedesired
minimum-delayfilter.
More generally,
anystationary
process
whosepowerspectrum
is a
rationalfunctionin z is a hybridbetween
an AR process
anda MA process
andsoiscalledanARM/I œrocess. Accordingly,
thenumerator
anddenomi-
natoreachmaybe factoredin theforegoing wayto give
I 12
t'"O
where,lettingz: exp(--io0),thepolynomials
G(z)andH(z) havenocom-
monfactors, therootsof H(z)havemodulus
greater
thanl, andtherootsof
G(z)havemodulusgreaterthanor equalto I. Thus,thefactorB(co)=
G(co)/H(co)
isthetransfer
functionof thedesiredminimum-delay
system.
General Solution of the Spectral Factorization Problem
Let usnowtakeup thegeneralsolution

of thefactorization
problemfor
a discrete
stationary
process
withan arbitrarypowerspectrumq•(co).
Let
us firstturn our attentionto the propertiesof the desiredminimum-delay
filter with transferfunctionB(c0)= [B(co)l expiO(co).Here IB(co)
l is the
magnitude
spectrum
andO(o0)
isthephasespectrum,
undertherestriction
that
thephase
lag--0(co)
isa minimum intheclass
ofallcausal
filters
withthe
samemagnitude
spectrum.
SinceB(z)hasnosingularities
orzeroswithinthe
unitcircle,
logB(z)isanalytic
withintheunitcircle.Consequently,
logB(z)
hasa power-series
representation
withintheunitcirclewhich,as Izl
approachesl, converges
to
logS(co)
= ]•0'J-2,• ,B,e
-'='=•o'J-2• ,8,cos
o•t---2i,•,B,
s•n
cot
(9-39)
wherewehaveletz: exp(--iro).Letusnowturnourattention
tothepower
spectrum •b(co).
Thefollowing conditions
onthepower spectrummustbe
satisfied' (1) •(co)mustbe nonzero almost everywhere on theinterval
(--•t,•t),(2)theintegralof•(•o)overtheinterval(--•, •) must
befinite,
and
(3)theintegral oflog•(o•)overtheinterval(--•, n) mustbefinite.Under
these conditions, log•/•(c0), whichisan evenrealfunction of co,maybe
expanded
in a real,symmetric
Fouriercosine
series,
(9-40)
log
,•/q;;,(o•)
= ,/.logq;;,(o•):
• •,cos
o•t: •o-!-2,.••, cos
cot
Innovational Representation of a Stationary Process 231
wherethe Fourier coefficients

•, are givenby
coscotlog•(co) dco (9-41)
By taking the logarithmof each side of B(co)= •/(1)(co)exp

iO(co)and
utilizing equation(9-40), we have
logB(co)= log•/•(•o) + iO(eo)= 60 + 2 t-.• 1 6, coscot+ iO(co) (9-42)
Now equation(9-39) givesan expression

for log B(co)whichwasderivedfrom
theminimum-delay
condition,
namely,that logB(z) be analyticwithinthe
unit circle. On the other hand, equation (942) gives an expressionfor
logB(co)derivedfrom the knowledgethat the magnitudespectrum
be equalto •/•(co). Settingthesetwo equationsequalto eachother,we find
that 6, = fl,. Thus, the requiredphasespectrumis givenin termsof the
power spectrumby
0(co)
= --2• 6,sin
cot
-- 1 sin
cotcos
utlog
tI)(u)
du.(9-43)
That is, 0(co)is the discrete
Hilbert transformof log•/•(•o), SinceB(z)----
exp[logB(z)],we have,by lettingz ----exp(--leo)in equation(9-39)•that
B(z)= Z b,z'-- exp•0d-2,• •z' ([zi< 1) (9-4,0

By meansof this equationwe may solvefor the desiredlinear operatorb,
in termsof the 6t givenby equation(9-41).Lettingz ----exp(--ico) in B(z),
we obtain B(co)for which •(co)•--lB(co)[a. Thus, the power spectrumhas
beenfactored,wherethe factor B(co)has magnitudespectrum•/•(co) and
phasespectrumO(co)suchthat the phase-lagspectrum--0(co) is minimum
in the classof all causalfilters with the samemagnitudespectrum.Thus,
B(co)is the transferfunctionand bo,b•, bz,... is the memoryfunctionof the
requiredminimum-delayfilter.
Innovational Representation of a Stationary Process
For a nondeterministic stationaryprocessx, we definethe predictionerror

et as a•e,----x,- œ,, where R,, given by equation (9-3) for o•----l, is the
least-squares predictionof x, from the pastvaluesx,_•, x,_z, - ßß, and a• is
the positivesquareroot of a•, the minimummeansquare.error(9-34).
Equivalently,
wemayexpress
thisprediction
error•, in termsof theprediction
error operator
•r = a0xr + alxr-I + a2xr-2 -I- '"
where a0 = a7 •, a• =--a;Vc0, a2------aT•k•, and so forth. Becausethe

predictionerrorrepresents the innovationat time t, it is uncorrclated
with
the past of the time series;that is, E(xr_,e,)= 0 for s > 0. Consequently,
E(•r•,) = 0 for t • s, so •r formsan orthonormalset (i.e., a white-noise
process).We may now regressxr on e,, •,_ •, .... We thereforeobtainthe
innovationalrepresentation
of a nondeterministicstationaryrimeseriesx, asthe
sumo• a Fourier seriesu, plus a residual=r; that is,
x•= u,+ •, where

u,= • b,e,_,,,.• b,
• < c•, b,= E(x,e,_,)
Becauseof the correlation propertiesof regressionresiduals,we have

E(er=,) = E(uru,)= 0. Now substitute(9-46) into (9-45) to obtain
rsO rmO
If we define• = r q- s, this equationbecomes
r-O
In order for this equation to hold identically,we must make two require-
ments'
• a,b._,
,-0 = when
when
z'r•=
=00 (9-48)
and
r-.O
The first of thesetwo requirementsstatesthat the filtersa, and b, areinverse

to eachother, and the secondstatesthat •, is perfectlypredictablefrom its
past, so the time series•, is deterministic.
The innovationalrepresentation
tells us that every nondeterministicstationaryprocessmay be decomposed
into a purelynondeterministic componentu, plusa deterministiccomponent
vt. By a purely nondeterministic componentwe mean a nondeterministic
process
with no deterministic
component.
The spectraldistributions
of the
Innovational Representation of a Stationary Process 233
u, a•d v, processes
are, respectively,
the absolutelycontinuous and the
singularcomponentsof the spectraldistribution
A(m) of the x, process.
Let us now considera ,purely nondeterministicprocess.We may
replacethe operatorcoefficients
c, in the movingsummation(9-35)by the
minimum-delayfilter b, foundby thefactorizationof thepowerspectrum. We
thusobtainthe innovationalrepresentation
of a purelynondeterministic
station-
ary time series x, as
x,= ,.• b,e,_,

= $m • e,b,_,
-- boe,
-Fb•e,_•
4-b•e,_a
4-... (9-50)
Thisequation
renders
thetimeseries
x, astheoutputof a minimum-delay
filter b, with input givenby the innovationse,. Sincethe filter is causal,the
value of x, is expressedin terms of the presentvalue e, and past values
e,_,, e,_a,..., but no future valuese,+,, e,+a,... of the innovations.This
representation corresponds to the purely nondeterministic componentu,
in the innovational representation(946).
Let us now considerthe innovationalrepresentation(9-50) in the lan-
guageof the engineer.The dynamicstructureof a stationaryprocessmay be
represented
by a minimum-delay filter B(co).This filter has a minimum
phase-lag
spectrum(i.e., minimumnegativephase)and magnitudespectrum
•/•(m)'. The coefficients
b, represent
the impulsive
response
of the filter.
The random elements of the stationary processare representedby the
innovationse, (--co < t < co), which is a mutually uneorrelatedsequence
(i.e.,whitenoise).Thetimeseries
x, (--co < t < oo)is the outP:fit
of the
filter in responseto the whitenoiseinput e, (--co < s • t). That is, e, may
be regardedas an impulseof strengthe,, which will producea response
e,bt_, at the subsequenttime t. By adding the contributionsof all the
impulsese, (--oo < s • t), we obtainthe total response, whichis the time
seriesx, givenby the representation (9-50). Sincethe input e, is an ortho-
normal process,let us note that its power spectrumis equal to 1 and its
autocorrelationvanishesexceptfor lag zero. Then the spectralfaetorizafion,
lB(m)!a = •(m), statesthat thepowerspectrumof theinput e, multipliedby
the powertransferfunctionlB(m)[z of the filter yieldsthe power spectrum
•(m) of the output x,. The power transferfunctionlB(m)[" may then be
calledtheenergyspectrumof the transientb,. Thusthe spectralfaetorization
statesthat the energyspectrumof the minimum-delaytransientb, is equal
to the powerspectrumof the time seriesx,. In the time domain,the spectral
factorizafion becomes
tin0
which statesthat the autocorrelationof the transient b, is equal to the

autocorrelation of the time seriesx,.
Let us now examine the innovationalrepresentationof an ARMA

timeseriesx, witha rationalpowerspectrum
(9-38).The outputx, isobtained
by passing whitenoise•, throughthefilterwith transferfunctionB(co)=
G(oo)/tt(•).This linearoperationis equivalent to firstpassingthe white
noise•, throughthe filter G(co)and thenpassingthe outputof the G(co)
filterthroughthefilter1/H(oo).Letf0,f•, f2,.. ßbe theimpulsive
responseof
the l///(co)filter;thatis,fo,f•,f2,... istheminimum-delayinverseoperator
to the minimum-delayoperatorho,h•,..., hi;. Then the innovational
representation (9-50)becomes
which may be written
,r-'O
n,x,_, = a,mO
g,e,_,
where•, is theorthonormalinputandthetimeseries x, with spectrum

(9-38)
is the output.By settingho= 1 and the otherh's equalto zero,equation
(9-53)representsan MA process. On theotherhand,by settinggo----1 and
the otherg's equalto zero, equation(9-53)representsan AR process.
Explicit Prediction Formula
Let usnowfind an explicitprediction

formulafor purelynondeterministic
stationary
timeseries.
Thevalueof x,., isgivenbytheinnovational
represen-
tation
x,+,,: (boe,+,,
+ b,e,+,,_•+ ... + b,,_•e,+•)+ (b,,e,+ b,,+•e,_a
+ ...)
If timet is thepresenttime,thepresent andpastvaluesxr, x,_•, xr-2,ßßß

areknown.Consequently, the valueser,6,-•, •r-2, .- ßat andpriorto time
t maybeobtained
byuseoftheinverse arof theminimum-delayoperator
b,.
Thus,the component
(b•6rd- b..•6r_•d- '") of equation(9-54)canbe
computed attimet, andthiscomponent istheoptimumleast-squares
predic-
tion,R,.,, of equation(9-3).Explicitly,
by makinguseof equation
(9-45)
wemaywriteequation(9-3)as
....
r"O
Explicit Prediction Formula 235
Comparing
thiswithequation
(9-3),weseethattheprediction
coefficient
is givenby
•, = • b.+,a,_, (9-•6)
This expressiongivesthe predictioncoefficients

k, to be usedin equation
(9-3)to yieldthe optimumleast-squarespredictionfor a purelynondeter-
ministicstationarytime series.Computingthe transferfunctionK(ca)of the
operator
k, of equation(9-52),weobtainWiener'swell-known
formula
1 ' B(u)d
"('*'}du
(9-57)
for the transferfunction of the optimumpredictor.The other component

of the decomposition(9-54), namely, the component(boe,+.+... d-
b._•e,+•),involvesfuturevaluesof the innovations and hencecannotbe
computed at timet. Thiscomponent istheprediction errorfor theprediction .
distance•, and its mean squarevalue, (bo a d-b• +-.. d-b.a-l), is the
minimummeansquarevaluea] of equation(9-34)•Althoughthe orthonormal
variableetis oftencalledthepredictionerror,we seethatthepredictionerror
for unitpredictiondistanceis actuallyboer.
Let usnow considerthe problemof separatingthe message
from a time
seriesmadeup of the message
plusnoise.The innovationalrepresentation
of the time seriesxt consistingof messagemt plus noisen, is
x, = m, d- n, = • b,e,_, (9-58)
Sincewe assumethat the message

is purelynondeterministic
(i.e., the message
hasan absolutely
continuous
spectraldistribution),
it maybe represented
by
theprocess
of movingsummation
givenby
.-
m, = •
,•m•
q,e,_,q- •
.•"• •
r,y,_, (9-59)
where•, and },, eachrepresent an orthonormal

sequ9nceof randomw.r•-
able$,and•(•,},,) = O.Let •(•) be thepowerspe•rumof •,, •, ,(•) be •e
powerspectrum
of themessage,
•:2(co)be thecross-spectrum
of message
and noise,and •2a(co)be the powerspectrum
of thenoise.Usingequation
(9-58), we have
•(o:) = •,,,(o:) + •,,.(•o) + •,(o:) + •(•o) = I•(o:) ? (9-60)
whereB(co)is the minimum-delay. factorof O(m). Letting Q(w) and

be thetransferfunctionsof thesmoothing operatorsq, (--oo • s • oo)and
r, (--oo < s < oo),respectively,
it followsfromequations (9-58)and(9-59)
that •,(m)---- QQ* q- R.R* and •P•2(co)--BQ* -- QQ* -- RR*. Con-
sequently,we haveBQ* -- •(o•) 3-.• •(co),so that
xi'_.
q'= ig + (P-O
Following our usualnotation,b, is the memoryfunctionof the mini-
mum-delayfilter B(•0), and a, is the inverseof b,; that is, a, is the memory
function of the minimum-delayfilter •4(•o)= 1/B(•o). The operatora, is
obtainedfrom b, by meansof equation(948). Sincethe presentand past
values, x,, x,_x, x,_•,..., of the time seriesare known at time t, we may
obtainthe presentand pastvaluese,, e,_•, e,_•,..., of the whitenoiseby
meansof the a, filter. By considering the movingsummation(9-59) at the
time t + •, we seethat the predictablepart of the messagem,+,,,where•
is the predictiondistanceor lead,is
$mO Vt"O '-

(9.62)
The nonpredictablepart, or filtering error, is m,+.- rfi,+,, which has

mean squarevalue
whichis a minimum.In equation(9-63)we seethat thefirst termon theright

dependson the lag --e•, whereasthe secondterm doesnot. Note that the lag
is definedasminusthe lead.Thus,the optimumlinear operatorin the sense
of the principleof leastsquaresto be usedin separatingmessage and noise
from a nondeterministic time seriesx, haseoeffleients
h, givenby the expres-
sion in parentheses on the right-handside of equation(9-62); that is,
h, --- •1 q,+.a,_, (944)

The transfer function is then
,-o tmO
• (94.5)
2•rB(m)
,•o
. e-tø"
,, e,,(u)
+,•, (u)
l•*(u) e,.O+.•
du
Concluding Remarks 237
This equationis the transferfunctionof what electricalengineers

know as
a "wave filter."
Concluding Remarks
This chapterhasfocusedon someof the more fundamentalaspectsof sta-

tionarytimeseries.The analysis canbecarriedout eitherin thetimedomain,
wherethe dominantconcepts are the autocorrelation and the crosscorrela-
tion functions,or in the frequencydomain,wherethe corresponding domi-
nant concepts are the spectrumand the crossspectrum. A stationarytime
seriescanin generalbe represented as the sum of an innovativecomponent
anda deterministic component. If thedeterministic component is absent,the
resultingtimeseriesis purelynondeterministic. The presentformulationwill
be usedin subsequent chapters asthetheoreticalflameworkfor the method
of predictivealeconvolution.

Stationary: Time Series

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stationary time series

Largelythroughthe impetusof NorbertWiener,statistical

There are two basicapproaches

The Basic Problems

Exploration seismologycan be broken down into logical steps,which are

Physical Data Treatment of data

Solutions of Dynamic and

The Introduction of Statistical Methods to Seisinology

linear operators,the dynamic elementsof the physicalsituation can be

The Relationship of Statistical Information

Once the innovati0nal characteristicsof a seismicrecord are renderedby

.•Theproblemsto beexploredin thisdirection

The Interrelation of the Deterministic

The third basicproblem,theinterrelation

The concepts givenin thissectiondependuponthe assumption that

whereA is amplitudeand 0 is phase.

The constanta is equalto 2 cosCOo At and the constantb is equal to --1.

.The Relationship of the Linear Operator and the Autocorrelation

Suchan operator,whichis linear,invariantwith respectto the originin time,

The linear operator k• is determinedby minimizingthe mean squareerror,

r-.•.2T+ 1,--re( x,+. - -

Utilizing thecalculusof variationsfor thisminimizationprocess,he obtained

5• k,•,_, = •,+. for • >_0 (9-$)

and is called the autocorrelation function. Hence, equation (9-5) tells us

The fundamentaltheoremof generalized

•, = • e'• an(co) (9-z)

Thefunction A(co)is calledtheintegratedspectrumof xt, andrepre-

and, in the caseof simplefunctions,the inversetransform

Thus, the autocorrelationfunction gives information about xt, which is

The Relationship between the Autocorrelation

which is an undampedcosinewave. ClassicalFourier seriesmethodsshow

is takenfrom Yaglom(1962,p. 57).In thiscasethe autocorrelation

•, = ca% c > O, !a] < 1 (9-16)

•, = (a-- b)(1-- ab)a•,•+ ba 8'

The Relationsh/p between the L/near Operator

The discussion to thispoint hasconcerned itselfwith the statisticalproperties

The crosscorrelationbetweenxz, and x x, is definedas

From the definitions(9-20) and (9-21) it followsthat

•::(•) = e"'(I),:(co)dco (9-25)

Here •::(co) is definedto be the cross-spectrum

ß ,:(•) = •:*,(co) (9-25)

where the asterisk indicatesthe complex conjugate.

(I):,((o) = Re [(I),:(co)]+ i Im [•, :(co)]

Here [•(ro)[ designates

Hence,we seethat the cross-spectrum

must have absolutevalue[X•z(ro)l lessthan 1 for all frequencies. In other

Ensemble Averages and Time Averages

The techniquesthat we presentin this chapterhave provento be oœgreat

valuein many applications.The linear systemsfor predictionand filtering

are finite and independentof t, the processis calledstationaryin the wide

taken over a singlerealizationof the time seriesx,. The autocorrelationfunc-

Let us definethe randomvariable.•,+, to be the linearleast-squares

The predictionerror at time t 4- ß is definedas

=•.= •[(x,.. - e,+.)=]:• le'- - g(o•)I

Two real randomvariablesx andy with finitevariancesare saidto be uncor-

x, '-'- • c,e,_, (--oo < t < oo) ' (9-35)

Let C(o0be theFouriertransform

The Problem of Spectral Factorization

From a realization of a stationarytime seriesx• we may computethe

If we let z ----e-t=, we see that

is a polynomialof degree2m. Sincewe aredealingwith real-valuedprocesses,

whereany root of orderp is repeatedp timesand where2h q- 1 ----m. Let us