G-filtering nonstationary time series (Q764443)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | G-filtering nonstationary time series |
scientific article |
Statements
G-filtering nonstationary time series (English)
0 references
13 March 2012
0 references
Summary: The classical linear filter can successfully filter the components from a time series for which the frequency content does not change with time, and those nonstationary time series with time-varying frequency (TVF) components that do not overlap. However, for many types of nonstationary time series, the TVF components often overlap in time. In such a situation, the classical linear filtering method fails to extract components from the original process. We introduce and theoretically develop the G-filter based on a time-deformation technique. Simulation examples and a real bat echolocation example illustrate that the G-filter can successfully filter a G-stationary process whose TVF components overlap with time.
0 references
0 references