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1、SignalProcessingandTimeSeriesSignalprocessingisafieldofengineeringandappliedmathematicsthatanalyzesanaloganddigitalsignals,correspondingtovariablesthatvarywithtime.Oneofthecategoriesofsignalprocessingtechniquesistimeseriesanalysis.Atimeseriesisanorderedlistofdatapoint
2、sstartingwiththeoldestmeasurementsfirst.Thedatapointsareusuallyequidistant,forinstance,consistentwithdailyorannualsampling.Intimeseriesanalysis,theorderofthevaluesisimportant.It'scommontotrytoderivearelationbetweenavalueandanotherdatapointorcombinationofdatapointsafix
3、ednumberofperiodsinthepast,inthesametimeseries.Thetimeseriesexamplesinthischapteruseannualsunspotcyclesdata.Thisdataisprovidedbythestatsmodelspackage(anopensourcePythonproject).TheexamplesuseNumPy/SciPy,pandas,andalsostatsmodels.Wewillcoverthefollowingtopicsinthischap
4、ter:?Movingaverages?Windowfunctions?Cointegration?Autocorrelation?Autoregressivemodels?ARMAmodels?Generatingperiodicsignals?Fourieranalysis?Spectralanalysis?FilteringSignalProcessingandTimeSeriesstatsmodelssubpackagesToinstallstatsmodels,executethefollowingcommand:$pi
5、pinstallstatsmodels$pipfreeze
6、grepstatstatsmodels==0.6.0Openthepkg_check.pyfileprovidedinthecodebundle,andchangethecodetolistthestatsmodelssubpackagestogetthefollowingresult:statmodelsversion0.6.0.dev-3303360statsmodels.basestatsmodels.compatnpstatsmodels.datasetsstat
7、smodels.discretestatsmodels.distributionsstatsmodels.emplikestatsmodels.formulastatsmodels.genmodstatsmodels.graphicsstatsmodels.interfacestatsmodels.iolibstatsmodels.miscmodelsstatsmodels.nonparametricDESCRIPTIONForanoverviewofthismodule,seedocs/source/nonparametric.
8、rstPACKAGECONTENTS_kernel_base_smoothers_lowessapibandwidthsstatsmodels.regressionstatsmodels.resamplingstatsmodels.robuststatsmodels.sandboxstatsmodels.statsstatsmodels.testsstatsmodels.toolsstatsmodels.tsa[166]Chapter7MovingaveragesMovingaveragesarefrequentlyusedtoa
9、nalyzetimeseries.Amovingaveragespecifiesawindowofdatathatispreviouslyseen,whichisaveragedeachtimethewindowslidesforwardbyone
