Applied Regression and Analysis of Variance for Stationary Time Series

Author(s): Robert H. Shumway

Source: Journal of the American Statistical Association , Dec., 1970, Vol. 65, No. 332
(Dec., 1970), pp. 1527-1546
Published by: Taylor & Francis, Ltd. on behalf of the American Statistical Association

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 ? Journal of the American Statistical Association
December 1970, Volume 65, Number 332
Theory and Methods Section

Applied Regression and Analysis of Variance for Stationary

Time Series

ROBERT H. SHUMWAY*

In the area of applied time series analysis a commonly occurring problem involves
the detection and estimation of signals (regression functions) imbedded within a
collection of independent identically distributed noise processes. A general linear
model which represents each observed time series as the sum of a wide sense sta-
tionary error process and a vector of regression functions operated on by a matrix of
time invariant observables includes as special cases many signal models of interest.
In this article a possible unified approach to estimation and tests of hypotheses for
this linear model is presented. Asymptotic regression estimates and analysis of
variance (power) tables are presented in the frequency domain and simple deriva-
tions for the probability distributions of the sums of squares are given. The result-
ing analysis of power partitions the spectral power in each frequency band into
components which can be attributed directly to each of the regression functions. As
an example, a sample of ten time series is analyzed which contains a mean value
function and an effect function in the presence of error.

1. INTRODUCTION

A problem of frequent interest in a number of areas involves the analysis

of observations from a collection of stationary time series each of which has
been sampled over some appropriate interval of time. For example, the col-
lection could be the time sampled outputs from (a) a number of leads in an
encephalogram, (b) a collection of hydrophones monitoring the ocean floor,
(c) an array of seismometers monitoring earthquakes and explosions, or (d)
hourly price quotations on a particular group of indicator stocks.
In the above situations a physical phenomenon such as a flashing light in
(a) or a passing submarine in (b) initiates a group of signals which propagate
across a collection of sensors in a predictable way. Basic questions which arise
often involve the adequacy of a postulated model for the phenomenon and the
associated detection and estimation capabilities of statistical procedures based
on the model. The term "detection" will be applied to situations where a test
is made of the hypothesis that a signal or set of signals is absent in a collection
of time series. "Estimation" will refer to the problem of reproducing a reasonable
replica of the primary signals generated by the event of interest. Goodness of
fit in the interval over which the model is fitted will be measured, but problems
of extrapolation will not be considered.
To give a more concrete example, suppose that each of a collection of N in-
dependent identically distributed normal time series is regarded as being com-
posed of a signal and a random zero mean stationary normal noise process so
that in discrete time (t = 0, + 1, + 2, * - * ) the model

Yj (t) = (t) +ej (t)(1)

* Robert H. Shumway is associate professor of statistics, George Washing

1527

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1528 Journal of the American Statistical Association, December 1970

obtains for j= 1, 2, * * *, N. In (1.1), Au(t) may be regarded as a fix

to be estimated with ej(t) a stationarily correlated normal error ser
to be independent of ek(t) for koj. The estimation and detection procedure
focuses on the mean value function ,u(t), and for N= 1 an extensive literature is
available describing various solutions in terms of orthogonal expansions of the
signal and noise functions.'
As a slightly more complicated model we might assume that a second signal
a(t) is present on the j th recorded time series, both at time t - Tj and t+ Tj,
where (Tj, j = 1, * * *, N) is a set of time delays implied by a particular direc-
tion and velocity of propagation for the second signal function. Then,

Yj(t) =(t) + 4[a(t - T,) + a(t + T)] + ej(t), (1.2)

with t and j as in (1.1), is a model which represents the obser

ing as the sum of a "mean value function" and a generalized "effect function"
in the presence of the stationarily correlated noise series ej(t). Because of the
similarity between (1.2) and the classical analysis of variance model I shall
adopt as a convention the terminology mean value function and effect function
when referring to the first signal and the second signal in (1.2). Equation (1.2)
is very useful in seismic detection and estimation problems.2 In (1.2) we would
probably be interested in testing for the absence of the effect function when it
is known that the mean value function is present. In addition, if the absence of
the effect function cannot be rejected, a reasonable estimate of its waveform
or general shape becomes of primary interest. Again we note the analogy with
tests of hypotheses made in the usual analysis of variance where a mean value
function is assumed to be present and a testing and estimation procedure is
developed for the generalized effect function a(t).
A more general linear model analogous to the usual regression equation is
specified in Shumway and Dean [22] which includes (1.1) and (1.2) as special
cases. With j = 1, * * *, N and t = O, + 1 . . . let

Yj(t) = = uZoo Xjm(t - U)f3m(U) + ej(t), (1.3)

where {Xjk(t), j1= . .,) N, k== 1, . ) ,p} is an NXp matrix function of

fixed time invariant observables and {3k(t), k=l , . *, p } is a p X 1 vector
of regression functions. The error series ej(t) (independent of ek(t) for k #j) is
assumed to be a stationary normal process with mean zero and covariance
function
r

o(t - t') = E{ ej(t)ej(t')} e eiw(t-t')f(co) (dw/2ir). (1.4)

In the above, f(.) is assumed to be a bounded continuous error spectrum.

Now it is easy to see that the structure of the error series is related to that
assumed for the error vector in the usual multivariate linear hypothesis if the
replicated time series is observed at T points, say t=O, 1, , T- 1. That
1 See [13].
2 See [231.

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 ANOVA for Stationary Time Series 1529

is, ej'=(ej(0), ej(1), * *, ej(T-1)), j=1, , N, is regarded as a collection

of N independent T X 1 vectors with a common T X T covariance matrix z with
elements in row t and column t' defined by (1.4). Thus, it would be natural to
treat (1.3) by the classical multivariate approach given in Anderson [1]. Un-
fortunately, in most time series analyses the number of replicated series is small
while the number of points in time is large so that N<<T. The usual multivariate
tests depend on the existence of a Wishart distribution for the sample covari-
ance matrix of the errors. This, in turn, requires that N > T so that these classi-
cal methods do not appear to be easily adaptable to time series problems. I
shall present an asymptotic solution to this problem which uses the stationarity
of the data as reflected by the representation (1.4).
It should be noted that a number of authors have considered regression
problems for time series using models similar to (1.3). Grenander and Rosen-
blatt [9] consider regression models for a single time series (N = 1) with regres-
sion functions of the form 3m(t) = 3m and observables Xim(t) which are not
necessarily time invariant. In particular, polynomial and trigonometric func-
tions are assumed and necessary and sufficient conditions for the asymptotic
efficiency and unbiasedness of the estimators are derived. In Hannan [10]
further work is done with the same model and some examples are presented
assuming an autoregressive structure for the errors. Hannan [11] presents a
number of extremely useful proposals for analyzing a model sinmilar to (1.3)
where A3m(u) is replaced by a matrix I3mk which is constant over time. Then the
model is transformed into the frequency domain using a version of the finite
Fourier transform, and a solution for the regression matrix is obtained by
averaging the transformed solutions over frequency bands. In the case where
N= 1 with the (Xim(t), m 1, .. . , p) assumed to be a p variate stationary
multivariate time series, Parzen [17, 18, 19], Wahba [24], Bendat and Piers
[2] and Jenkins and Watts [14] present various aspects of the frequency d
main solutions to the problem of estimating the p regression functions.
It is appropriate to note here that there are several basic differences between
the model in (1.3) and those presented in the literature. First, I assume that in
most data handling problems it is feasible to collect a sample of independent
identically distributed time series each of which is homogeneously correlated
over time. Thus, any observed correlation between sets of data series is due to
the postulated regression functions which all series have in common. Second, I
assume that many models of interest in practical applications (see Equations
(1.1) and (1.2)) can be generated by regarding the Xjk(t) as fixed functions
rather than as random stationary time series. Third, I will concentrate not
only on estimating the regression functions but on testing various models
against each other using methods analogous to those employed in the analysis
of variance.
However, there is still implicit in (1.3) the previously mentioned distribu-
tional difficulty when the number of points in time exceeds the number of time
series. A natural approach to the problem posed by observations correlated in
time seeks to transform to sets of uncorrelated random variables. If the co-
variance structure of the errors is known, such orthogonal transformations can

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1530 Journal of the American Statistical Association, December 1970

be used in either the finite or infinite dimensional case by solving the appro-
priate matrix or integral equation for the eigen values and eigen functions of 2,
the covariance function.
For stationary data, however, there is another possibility afforded by ex-
panding both sides of (1.3) with respect to a complete set of basis vectors given
by the complex exponentials eiwt. The noise process, then, is expanded in a set
of independent complex normal variables, and the matrix convolution in (1.3)
simplifies to a simple linear operation in the w or frequency domain. Since the
model in the transformed space spanned by the basis vectors eiwt is a linear
model, an extended form of the Gauss-Markov theorem yields best linear un-
biased estimates for the p regression functions.3
As a practical tool for the finite dimensional sampled data case, with the
time series observed at T points, I shall employ the finite Fourier transform
(see [3]) as an approximate orthogonalizing transformation. It is well known
that random variables generated by taking the Fourier transform of anob-
served stationary process are uncorrelated as the sample length T increases,
with asymptotic variances equal to the spectral ordinates f(- ), since the squared
moduli of the transformed variables are values of the Schuster periodogram.
This partition of the total variation into the power or variance contributed by
the separated cyclical or frequency dependent components is natural because
the periodic nature of many signal-generating phenomena implies that there
will be certain frequencies where the power of the signal or effect function
greatly exceeds the error power when the effect function is present. This cor-
responds to letting the frequency bands play a blocking role with the power or
variance of each of the p regression functions evaluated as a within block power.
Since adjacent frequencies are independent, the original multivariate regression
problem in time has been transformed into an approximate univariate regression
problem in frequency.
An algorithm for fast finite Fourier transformation can be taken from a con-
venient reference such as Jenkins and Watts [14]. A number of examples of its
use in convolutions and spectral estimation can be found in Cooley, et al. [3].
The structure of the variables obtained on transformation is approximately
compatible with the structure necessary for certain statistical testing procedure
involving complex random variables given in Giri [6], Goodman [7] and Khatri
[15]. Results from these papers are used in our practical procedure.
In this article a possible unified approach to problems of estimation and
tests of hypotheses for regression models of the form (1.3) is proposed and il-
lustrated. Basically, the approach is an exact copy of the usual analysis of
variance approach on a frequency dependent basis where an approximate like-
lihood ratio test yields the power or variance due to a particular subset of the
original p regression functions. In this way one may analyze the power due to
generalized effect functions such as those appearing in (1.2) in the same way
that one evaluates the variances due to treatment effects in a completely ran-
domized design for a classical analysis of variance. A frequency dependent
goodness of fit criterion analogous to R2 in the usual case is given. Simple deriva-
tions for the asymptotic probability distributions of the power components are

S See [22].

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ANOVA for Stationary Time Series 1531

presented so that the prospective user of the method can easily modify the
theory to fit his particular model. Finally, as an example of the practical aspects
of the estimation and testing procedure, data are generated which conform to
the model given by (1.2). The mean value and generalized effect functions are
estimated and compared with the true input signatures. Tests of hypotheses
are performed to verify experimentally the approximate distribution of the F
statistics under each of the null hypotheses.

2. ESTIMATION OF THE REGRESSION FUNCTIONS AND ERROR SPECTRUM

For the general linear model given by (1.3) assume that the N time series
are observed at T points where T> N. The finite Fourier transform (see [3]) of
the normal real zero mean stationary error series in (1.3) is of the form

ej(n) = 17(T)1'2 T-L1 ej(t)e-iw1nt (2.1)

for n, t=O, 1, * *, T-1 and j= 1, * * *, N with

=n (2wxn)/T. (2.2)

The squared modulus of the complex random variable in (2.1) is the usual
Schuster periodogram, and discussions of its use in spectral estimation can be
found in references [2, 3, 14, 17, 19]. The historical use of the periodogram as a
test statistic has primarily involved the case where the series are regarded as
independent and identically distributed over time so that the harmonic com-
ponents of the periodogram can be regarded as independent chi-square variates
with two degrees of freedom each.4 Even when observations are correlated over
time it can be shown that, when T is even, the first T/2 random variables in
the sequence defined by (2.1) will be asymptotically (T-* oo) uncorrelated with
asymptotic variance equal to the theoretical power spectrum f(W.) at the fre
quency point wco where f( ) is the power spectral density defined in (1.4).
Proofs of this property may be found in Grenader and Rosenblatt [9], Hannan
[10], Rosenblatt [21] and Jenkins and Watts [14]. An additional property of
the complex random variables ej(n) is that their real and imaginary parts will
be asymptotically uncorrelated zero mean normal random variables with com-
mon asymptotic variance f(W(n)/2 except at Wn =0, 7r, where the varianc
f(Wn). A short proof shows that the accuracy of the approximations is of the
order log TIT.
Suppose that for a sample of time series observed at t =0, 1, * *, T -1 we
assume that the model given in (1.3) obtains. Then, if the finite transforms of
ej(t), fj(t), Yj(t) and Xjk(t) are denoted by ej(n), , (n), Pj(n) and ZJk(n),
respectively, the basic model in (1.3) can be written in the frequency domain
as (the tilde denotes the finite Fourier transform)

Yj(n) = Em,= Xjm(n).m(n) + ej(n). (2.3)

In matrix notation (2.4) becomes, with n and j as in (1.4).

Y(n) = X(n) i(n) + e(n) (2.4)

4 See [5, 12, 14].

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1532 Journal of the American Statistical Association, December 1970

where Y(n) and e (n) are N X 1 complex vectors with X(n) an N X p complex
matrix and 5(n) a pX1 vector of complex regression coefficients. Now, from
the discussion after (2.1) and (2.2) it follows that the asymptotic distribution
of the random vector e (n) is a special case of the complex multivariate normal
distribution of Goodman [7]. Therefore, an approximate version of the likeli-
hood of the (T/2)+1 vectors Y(O), Y(1), ..., Y((T/2)-1), Y(T/2) can be
written using the fact that for w,n, FO, 7r, e(n) follows asymptotically an
ate complex multivariate normal distribution with zero mean and covariance
matrix (f(Wn))IN where IN denotes the N XN identity matrix. At W.- = 0, -,
e (0) and e (T/2) are asymptotically real multivariate zero mean normals with
covariance matrix f(wco)IAN, and e (m) and e(n) are asymptotically independent
for m#n.
Now, by using the results of Goodman [7] and Khatri [13], it is immediately
obvious that the approximate maximum likelihood estimates for 5 (n) and
f(W,) are

VW (n= [X*(n)X(n)]-1X*(n)Y(n) (2.5)

and

f+(Wn) = 1/N(Y(n) -X(n)j+(n)) * (Y(n) - X(n)

for n = 0, 1, * * *, T- 1, where * denotes the complex conjugate transpose. The
estimate in (2.5) is the usual estimate (see [2, 14, 22, 24] in the frequency do-
main and may be transformed back into time to yield estimates for the regres-
sion functions. To derive the asymptotic distribution of the estimated error
spectrum f+(Wn) for each n, consider a regression model composed of the real
and imaginary parts of the complex regression model given by (2.4). If the real
and imaginary parts of Y(n), X(n), 5 (n) and e(n) are denoted by the subscripts
R and I respectively, it is convenient to combine the real and imaginary parts
into the partitioned form

YR(n) XR (n) -XI (n) 5R (n)8 + eR(n) (27

\Yr(n) kXr(n) XR(n)) (i(n)/ \ei(n))

which may be written

Y(n) = X(n) 5(n) + e(n) (2.8)

with the obvious identifications.
From the discussion following equations (2.1) and (2.2) we may conclude
that the 2N X 1 real vector Y(n) is asymptotically normal with mean vector
X(n)5(n) and covariance matrix (f(wn)/2)I2N. Then, using (2.5)-(2.8), it
easy to show that

Nf+(Wn) = Y*(n)[IN -X(n)(X*(n)X(n))-1X*(n)](n)

= Y' (n) [12N -X(n) (X'(n)X (n))-1X'(n) ] Y(n) (2.9)
= Y'(n) A (n) Y(n),

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 ANOVA for Stationary Time Series 1533

which is a real quadratic form in the 2NX2N matrix A (n). Since the rank of
the idempotent matrix A(n) is 2(N-p), it follows that Nf+(co") is asymptoti-
cally distributed as f(Cwn)/2 times a central chi-square variate with 2(N-p)
degrees of freedom except at wo =0, ir. At the two endpoints the vectors in-
volved in the Hermitian form are purely real so that Nf+(wn) at these points
is distributed asymptotically as f(wn) times a central chi-square with (N - p)
degrees of freedom. Hence, an asymptotically unbiased estimate of the error
spectrum f(con) is Nf?+ (w,) / (N-p).
We note that the distributions of Hermitian forms in complex iiormnal vectors
involving either a sample or theoretical covariance matrix have been derived
in Giri [6]. The results for Hermitian forms in complex normal vectors involv-
ing idempotent matrices are simple extensions which use the original Goodman
structure. I include the derivation in (2.9) as an example of the simple pro-
cedure to be followed for extending the distribution theory of real quadratic
forms in the analysis of variance (see [8]) to the complex case. The next section
presents an analysis of power for the two-partition linear hypothesis which
allows selective testing for the presence of the different regression functions in
(1.3).

3. TESTS OF HYPOTHESES FOR THE PARTITIONED REGRESSION MODEL

In the application of regression models to sampled data it is frequently

desirable to test the hypothesis that a certain specified regression function is
absent. For example, in (1.2) the signal of primary interest might be the second
regression function a(t) while the mean value function ,u(t) is always assumed to
be present. This implies that a partitioned model of the form

Yj(t) M E=m- u=-oo Xjm ) (t - U)IOm(1 (U)

+ Z2 1 X__C2) (t - U) 13m(2) (U) + ej(t) (3.1)

for pl+P2 = p* j 1 N, t=0, + 1, . . . is appropriate. Then, transform-

ing both sides of (3.1) for a finite sample observed at the points t=0, 1, *
T- 1, yields the representation

Y(n) =i(n)i(n) + X2(n)02(n) + e(n) (3.2)

for n = 0, 1, * *, T -1, where Y(n) and e(n) are vectors of finite transforms of
Yj(t) and ej(t), with X1(n) and X2(n) NXp1 and NXp2 matrices composed of
the transforms of Xjk(')(t) and Xjk(2) (t), respectively, and 51(n) and 02(n)
PiX1 and P2X1 vector transforms of the regression coefficients ,3j(l)(t) and
o3 (2) (t).
Now it is clear that testing 52(n) = 0 for all n is equivalent to testing 13m(2) (t)
-O for m=1, 2, . . ., P2, t=O, 1, . . *. T-1 in the time domain. Again, as in
the previous section, the approximate likelihoods are written using the Good-
man version of the complex multivariate normal under the hypotheses
Hi: 51 (n) = 0 and H2: 52(n) = 0 given that i(n) 5O, yielding the ap
likelihood ratio tests of H1 and H2 against the full model. These results are

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1534 Journal of the American Statistical Association, December 1970

combined into the usual analysis of variance table.' I shall term such a par-
tition on a frequency dependent basis an analysis of power with the results
summarized in Table 1 where Z(n) = (X1(n), X2(n)) is the partitioned NXp
matrix composed of the N X pi and N X P2 matrices X1(n) and X2(n).
At the frequency points w,, =0, X- the degrees of freedom are halved. We no
that the asymptotic distributions of the Hermitian forms are derived again by
expressing the regression model in terms of the real and imaginary parts of the
matrices appearing in (3.2). Then, with the Hermitian forms equated to real
quadratic forms as in (2.9), the Fisher-Cochran theorem (see [20, p. 129])
applies yielding the chi-square distributions implied by the degrees of freedom
column in Table 1. If a test of the hypothesis 01(n) = 0 is of interest, I use the
ratio of the average power due to 01(n) divided by the mean error power esti-
mated by

(Diffa (n) + Diffb (n))/(N -p). (3.3)

The ratio of the mean power due to 0+1(n) in Table 1 divided by the error power
in (3.4) has the central F-distribution with 2p, and 2(N-pi) degrees of freedom
when 1 (n) = 02(n) = 0. In general, the test of interest will be of the hypothesis
=2(n) 0 given that 51(n) -0 and the appropriate result is that

Diffa (n) (N -P) (3.4)

Diffb (n) P2

has a central F-distribution with 2p2 and 2(N-p2) degrees of freedom when
=2(n)=0 and a noncentral F-distribution otherwise. If a test for goodness of
fit over and above the mean is desired it is clear that

R2(n) = (Diffa (n))/(Diffa (n) + Duffb (n)) (3.5)

is an estimate for the percentage of power explained by 02(n) at the frequency

on.
The expression "analysis of power" is appropriate in the above discussion be-
cause the variance due to each of the regression functions is measured by a

Table 1. APPROXIMATE ANALYSIS OF POWER AT THE FREQUENCY con

Source Power Degrees of

Due to E n) (Y*(n) X X (n)[x*(n) X (

Difference Diffa (n) 2P2

8 (n) and R (n) Y*(n)X(n)E[*(n)X(n)l-'x*(n)y(n) 2p

Difference Diffb (n) 2(N-p)

Total Y*(n)Y(n) 2N

5 See [81.

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ANOVA for Stationary Time Series 1535

power component in exactly the same way as the variance of an effect in an

analysis of variance is measured by the sum of squares component. If K adja-
cent frequencies, cn, n = 1, 2, , K have approximately equal spectra and are
asymptotically independent (see [24]) the power components in Table 1 maybe
smoothed by averaging without losing the chi-square property. Summing over
all frequencies leads to a statistic similar to one proposed by Hannan [11].

4. SIMULATED EXAMPLE

It is interesting to note that even though the results summarized in Sections

2 and 3 are easy to present in theory, the details necessary to perform the cal-
culations are somewhat involved. Many data systems record in real time so
that generally the length of the sample time series is somewhere between 500
and 2000 points. I mention these numbers as providing reasonable conditions
under which the methods of this article would apply. I choose to use simulated
data which has the advantage that the model assumptions are satisfied yielding
a check of the validity of the asymptotic approximations employed. A number
of examples using seismic data can be found in Shumnway and Husted [23 ].
In the practical procedure for estimating the p regression functions in the
regression model (1.3) a solution is desired which satisfies (2.5) and is an ap-
proximation to the solution for the best linear unbiased regression functions.
Such solutions are of the form (see [22])

3=+(t) = k -X hjk(t - U) Yk(u) (4.1)

where t=0, ?1,***, and {hjk(t) j=12 N, k=1,* *, p} is a matrix
of time invariant linear operators (filters). If the infinite two-sided Fourier
transform of hjk(t) is defined by

Hjk(w) - e iWthjk(t) (4.2)

for-7r < co <w then the matrix of tran

satisfies the equation

H(co) [X*(co)X(co)]-1X*(co)] (4.3)

for each co where X(co) is an N X p matrix of the two-sided infinite transforms of
the functions {Xjk(t), j=1, . .. , N k=1, . .. , p}. Finite end effects are
minimized if the convolving functions hjk(t) are considerably shorter than the
time series Yj(t) and I assume that the functions decay rapidly enough to zero
so that an approximation to (4.2) can be constructed over a finite number of
frequencies. Then, I may summarize a recommended procedure as follows:

1. Specify the functions Xjkt) and 13m(t) in the regression model given by (1.3) or
partitioned version (3.1).
2. Construct the theoretical entries in the matrix H(w) under the full hypothesis and
under the reduced hypothesis by calculating the appropriate version of (4.3).
3. Calculate an approximation, say Hajk(Of), to (4.3) over the interval 0 <w <2lr
using the points w, = 2rn/L, n = 0, 1, * ,L-1 with L .1 T where T is the length
of the data series.
4. An approximation to the time function wben the data begins at zero then is given
as

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1536 Journal of the American Statistical Association, December 1970

hajk(t) = (1_L) Zn=I HaJk('Wn)eiwnt

for t = 0, 1, , L -1. The finite time approximation to hjk(t) over the two-sided
infinite interval is given by

= hajk (t + (L /2) + 1), 0 < t < (L/2)- 2

hfk(t) = hajk(t - (L/2) + 1), (L/2) - 1 < t < L - 2 (4.5)
=0, L-1 <t < T-1.

5. Construct the approximation to (4.1). This proceeds by transforming hjk(t) and

Yj(t) to the frequency domain using the fact that (see [31) f(t) and P(n) are finite
transform pairs if

P(n) = (1/Ti12) E tTjf(t)eiwnt (4.6)

and

f(t) = (1/T"/2) ETl1(n)eiwnt (4.7)

for n, t=O, 1, , T-1 and Wn= 2srn/T. Then, denoting the finite transforms of
Yj (t) and hJk(t) by Y; (n) and ]7k(n) respectively,

Sj3(t) = ,1 Z=o hJk(t - u) Yk(U) = nk= 0 Ej=o eiwkt fjk(n) k(n). (4.8)

Hence, I construct the estimators for the regression functions by calculating the
frequency functions

Gjk(n) = -VTfJk(n) Yk(n) (4.9)

which yield, on substitution into (4.8) and transformation, the estimates

-j+(t) = qk=l gjk(t). (4.10)

6. Reconstruct each time series according to

Yj+(t) = V=_ Zs_o0 Xjm(t - U)fm3+('U) (4.11)

using the finite transforms and Steps 3-5 if necessary.
7. Then, the power spectrum of Yj+(t) is the entry in Table 1 designated as 51 (n)
and 52(n). This is computed as E =N I f| +(n) | 2 where j +(n) is the finite transform
of the estimate given in (4.11).
8. The total power is computed as E N 11 | (n) 2 where fj (n) is the finite transfor
of the observed series Yj(t).
9. The power due to 51(n) is computed by following Steps 2-7 for the reduced model
given by (3.1) with 3j(2)(t) =0 forj=1, * p2.
10. The other power components are calculated by differencing. Note that if smooth-
ing (averaging over adjacent frequencies) is applied to the power components the
degrees of the freedom in Table 1 are multiplied by the number of points in each
average because of the additive property of the asymptotically independent chi-
square variates.
11. The F-statistics and proportion of variation are calculated at each frequency
according to Table 1 and (3.3), (3.4), and (3.5).

As a possible regression model for a set of time series I will use (1.2), which
assumes that each time series is composed of a fixed mean value function 1,(t)
plus a generalized effect function a (t) which appears at time t - Tj and then at
time t+ Tj on the jth time series with Tj known. It is realized in practice by
imagining that the N time series are suspended on a string. A signal a(t) is
generated which progresses up the array, is reflected off the top, and then moves
back down. The mean trend function ,(t) might be a signal which hits the

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 ANOVA for Stationary Time Series 1537

Figure 1. THEORETICAL POWER SPECTRA FOR TWO

PROCESSES INVOLVED IN SIMULATION

_ ______ THEORETICAL POWER

SPECTRUM OF ERROR
SERIES e i(t)
THEORETICAL POWER
SPECTRUM OF MEAN
VALUE FUNCTION pAt)

Power

//11 \\c

\ /

0 0 2.5 5.0 7.5 10 0

string broadside whereas the effect function is another signal whose angle of
incidence and velocity are specified by the time delays T1, T2, * * *, TN. The
model is similar to an analysis of variance model in the sense that I am trying
to resolve the total power into two directional components in much the same
way as a classical analysis of variance isolates row effects and column effects.
Ten time series (N = 10) each containing 1024 (T = 1024) points were gener-
ated according to the model specified by (1.2). In order to provide a check on
the probability distributions involved in the analysis of power the errors ej(t)
were generated by drawing normal independent variables with zero means and
standard deviation two and smoothing with the coefficients .1, .5, .2, -.1, .2
and .1. This leads to a correlated error process with a standard deviation of
1.2. The theoretical power spectrum of this series is shown in Figure 1. A fixed
mean value function ,u(t) to be added to each trace was generated by taking
three-point running averages of zero mean independent normal random vari-
ables. The standard deviation of the resulting process was 1.0. (A portion of the
1024-point fixed function ,u(t) is shown in Figure 5 and its theoretical spectrum
is given in Figure 1.) An arbitrary sampling rate of 20 points per second is as-
sumed which yields a ten cycle per second folding frequency corresponding to
the angular point 7r. The fixed effect function a(t) is generated as a relatively
short (128-point) exponentially decaying sine wave oscillating at three cycles
per second. (The true effect function of maximum amplitude two is shown in
Figure 4.)
Figure 2 shows a 240-point portion of one of the ten time series simulated
according to the model implied by (1.2). The arrows specify the two entry
points for a (t) and are respectively 23 points (To0 23) to the left and right
the center point. The other time delays T1, T2, * * *, T9 are 0, 12, 14, 19, 28,
29, 31, 38 and 50 points, respectively.

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1538 Journal of the American Statistical Association, December 1970

Figure 2. AN OBSERVED TIME SERIES Y1o(t) =(t)+(I /2)

[c(t-Tio) + a(t + Tio)] + elo(t)

Equation (1.2) may be written as a special case of the general model (3.2)
by noting that with Pl = P2 = 1, p = 2, f,3(1) (t) = ,u(t), f3l(2) (t) = a(t) and

Xjl(2)(t) = (1/2)(6tT, + 3t+T), (4.12)

(3.2) reduces to (1.2) with at the Kronecker delta function defined as 1 when
t=0 and zero elsewhere. This concludes the parameter identification described
in Step 1. The tests of hypotheses for this model are

Hi: M(t) = 0, (-3

H2: a (t) = 0 given,u(t) A 0. (4.13)
In order to construct the matrix of filter functions required
we note that

Xji(')(C) = El-. 6te-iwt= 1,

X(( - Zt=-oO (1/2)(3t-Tj + St+T,)e itw = cos T,. (4.14)

This gives by (4.3)

Hlk(W) = (1/ A(w)) [A (w) - B(w) cos cTk], (4.15)

H2k(cW) = (1/A(w)) [N cos coTk - B(c)],
with

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ANOVA for Stationary Time Series 1539

A (w)
A(c, = cos2wTk,
- k1 COS2 o,

B(w) = Sk-1 cos CTk, (4.16)

A()= NA(c) - Bl(w)

for k = 1, N. Under the reduced model when a(t) = 0 it is easily seen that
the optimum filters are all equal to 1/N. In order to construct the approxima-
tion to the optimum time invariant filters corresponding to the frequency re-
sponse functions given in (4.14) and (4.15) consider a 128 (L = 128) point ver-
sion computed at the points wn =27rn/128, n=0, 1, * * *, 127. I take Hajk(O) =
for the singular point introduced by A(0) = 0 so that the approximate filters do
not pass the zero frequency. Then Step 4 yields an approximation to the time
function which is corrected to a two-sided time scale by (4.5). Two representa-
tive filter functions hi,io(t) and h2,io(t) are shown in Figure 3. The filter for
estimating the mean value function contains the expected peak at t= 0, while
the effect function filters contain peaks at the time delays experienced by the
function a(t) as it propagates up and down the array. The negative small peaks
match the effect function time delays T1, T2, * * * , Tg not present on Ylo(t).
In order to estimate ,u(t) and a (t) under the full hypothesis I obtain the finite
transforms of Yk(t) and hjk(t) using (4.6). Then (4.9) and (4.10) yield the esti-
mated functions A+(t) and a+(t). The true and estimated effect functions are
compared in Figure 4. Even in this relatively noisy case a reasonable repro-
duction of the primary signal is obtained. The true and estimated mean trend
functions are compared in Figure 5 and a similar result can be noted.
In order to perform the analysis of variance in Table 1, I reconstruct the

Figure 3. FILTERS FOR ESTIMATING ,tAt) AND a(t)

h1 10(t)

I sec (20 pts.)

h2,10 (t)

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1540 Journal of the American Statistical Association, December 1970

z
0
U

LL.

U
LU

LL. (/)

LL.

LUJ Z

LUJ

LU

~~~~~~~~~1)~~~~~~~~~~~~~.

4-)~~~~~~~~~~~~~~~~~~-

o T
D C=4 ':=4~~~

41)U 4-4

4 4) 41)
4-)

E-4~~~~~~~~- 4-)
EQ

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ANOVA for Stationary Time Series 1541

0
U

L..

2::

LUJ

0
I...

U.

UZ

a) a)

4-) 4-)

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1542 Journal of the American Statistical Association, December 1970

predicted time series using

Yj+(t) -+(t) + (1/2)(a+(t - Tj) + a+(t + Ti)). (4.16)

The power spectrum is computed using the procedure in Step 7 with the total
power calculated as in Step 8. Now, the power due to the mean ,u(t) is just the
total predicted power under the assumption that a(t) = 0. The optimum filter
functions under this assumption are all equal to 1/N so that each predicted
trace is just

Y(t) = (1/N) EN 1 Yj(t). (4.17)

The power due to the mean trend function, therefore is NJ Y
Y(n) is the finite Fourier transform of Y(t) in (4.17). The other terms in
Table 1 are obtained by differencing. In general, the computational procedure
for a power component is to take the finite Fourier transform of the 1024
point series. The squared modulus is then obtained for each frequency
point and smoothed estimates are calculated using 17-point running aver-
ages. This yields 33 spectral estimates ranging from 0 to 10 cycles per
second. Each spectral estimate has approximately 17X2=34 degrees of free-
dom with a slight overlap in smoothing contributing to an apparent increase
in the total degrees of freedom. The ratios of the required F-statistics are
calculated as in Step 11. The degrees of freedom for the F-statistic for testing
the significance of the effect function with pi =1 are 17 X 2 X 1 = 34 and 17 X 2
(10-1) = 306 because of the smoothing. The F-statistic for testing the sig-
nificance of the effect function with P2=l has 34 and 17X2(10-2)=272
degrees of freedom.
The separate power components for this test case are shown in Figure 6.
The general outline of the theoretical spectrum (see Figure 1) of the mean
trend is visible in the power component due to the mean. The estimated power
component due to a(t) has the expected peak at three cycles per second which
is the effect function frequency (see Figure 4). The F-statistics for the mean
trend and effect functions shown in Figure 7 are highly significant at the ap-
propriate frequencies. Table 2 presents the complete analysis of power at the
frequencies of interest along with the percentage of power explained by the
effect function at each frequency. Again, the expected result is that R2 achieves
its maximum of 52.3 percent at 2.8 cycles per second. The power components
due to the effect function are distorted at the zero frequency since the esti-
mators for the effect function did not pass the zero frequency. Estimates at the
high frequencies are distorted because of the low power due to the mean trend
function at these frequencies.
It is interesting to verify that the procedure works correctly under the various
alternatives to the full hypothesis. Therefore, the analysis was repeated on a
model containing only a mean trend function and a model containing no trend
or effect function. In the trend only case the F-statistic for detecting the effect
function was not significant at the effect function frequency while the trend
function values were nearly the same as those given in Table 2. In the simula-
tion which contained neither the trend nor the effect function both F-statistics

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 ANOVA for Stationary Time Series 1543

c 4 , oM O co'Oo S 4HJH L(0Y) a:c \ H co o o La tCO co

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HH H

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1544 Journal of the American Statistical Association, December 1970

Figure 6. ANALYSIS OF POWER

Power

50

I'
I"
TOTAL POWER

I ________ - POWER DUE TO a(t)

| \ ......... POWER DUE TO 1(t)

25

- Cycles per
0 second (cps)
2.5 5.0 7.5 10.0

remained well below their significance values. Table 3 gives the theoretical and
observed percentiles of the F-statistics corresponding to the test for the signifi-
cance of the effect function. These sample and theoretical F-ratios agree very
well except at the .75 and .90 levels. Neither column, however, fails the Kolmo-
gorov-Smirnov test. Thus, it seems that the estimation and hypothesis testing
procedure gives results which are consistent with the asymptotic theory.

Figure 7. RESULTS OF F TESTS IN ANALYSIS OF POWER

5.0 - F STATISTIC FOR TESTING HYPOTHESIS E(t) O

_ \ g F ~~~~~~~~~~~~~~~~99(30,00)

0.0 cps
2.5 5.0 7.5 10.0

F STATISTIC FOR TESTING HYPOTHESIS

aft) = 0 GIVEN THAT X (t) M 0

5.0

F 99(30, 0)

0.0 cps
2.5 5.0 7.5 10.0

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 ANOVA for Stationary Time Series 1545

Table 3. THEORETICAL AND OBSERVED PERCENTILES OF F

STATISTIC UNDER VARIOUS HYPOTHESES

F(30, o)a Theoretical Sample probability Sample probability

probabilitya Y (t) = A (t) + ei(t) Y3 (t) = e,(t)

.499 .01 .07 .00

.617 .05 .07 .09
.816 .25 .26 .25
.978 .50 .45 .44
1.16 .75 .56 .67
1.34 .90 .71 .84
3.46 .95 .85 .94
1.70 .99 .97 1.00

a Source: [4, Table A-7c]

The computer time involved in the preceding example was not excessive; a
complete run involving the simulation of the data, estimation of the regression
functions, and analyses of power for the three models requires about 15 minutes
on an IBM 360 (Model 50) with approximately 130,000 bytes of storage avail-
able for each program. For this particular program no auxiliary storage is used
and the number of time series which can be analysed is unlimited. Core storage
limits the length of each series to about 2048 points with the filter length usually
less than 512 points.6
5. DISCUSSION

We have shown that many signals imbedded in a stationary multivariate

time series can be analyzed by classical regression and analysis of variance
techniques. If the analysis is performed frequency by frequency the likelihood
ratio procedure yields a sequence of tests entirely analogous to those for the
real variable case. Many practical problems involve a sequence of linear models
expressed in the general form given by (1.3), and the frequency dependent
directional nature of physical signal models tends to produce computations
very similar to those appearing in the classical analysis of variance. Of course,
the model is restricted to processes with uncorrelated error series, but the errors
may be stationarily correlated in time. In addition, the Fourier transform is an
asymptotic uncorrelating technique so that fairly long time series are required
to smooth over adjacent frequencies.
Although more general multivariate models are possible, it is hoped that the
linear model of this article will be general enough to include many regression
problems in applied time series analysis. The concept of independently dis-
tributed time series with identical correlation functions should be no more
difficult to accept than either the concept of identically distributed independent
vectors in multivariate analysis or the concept of independent identically dis-
tributed observations in a univariate sample. While many of the results used
here have been at least alluded to before, it is hoped that the computational
details presented will provide a more definitive blueprint for the practical
analyst.

8 Copies of the program may be obtained by writing to Department of Statistics, The George Washington
University, Washington, D. C.

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1546 Journal of the American Statistical Association, December 1970

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[2] Bendat, J. S. and Piersol, A., Measurement and Analysis of Random Data, New York:
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[3] Cooley, J. W., Lewis, P. A. and Welch, P. D., "The Fast Fourier Transform and Its
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[4] Dixon, W. J. and Massey, F. J., Introduction to Statistical Analysis, New York:
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[161 Parzen, E., Stochastic Processes, San Francisco: Holden-Day, 1962.
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[20] Rao, C. R., Linear Statistical Inference and Its Applications, New York: John Wiley
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