Discriminant analysis for locally stationary processes

DOI10.1016/j.jmva.2003.08.002zbMath1050.62066OpenAlexW2084161525MaRDI QIDQ1882941

Masanobu Taniguchi, Kenji Sakiyama

Publication date: 1 October 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2003.08.002

zbMATH Keywords

influence functionmisclassification probabilityleast favorable spectral densitytime-varying spectral density matrixclassification criterionlocally stationary vector processnon-Gaussian robust

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Inference from stochastic processes and spectral analysis (62M15)

Related Items (25)

Robust functional supervised classification for time series ⋮ Local inference for locally stationary time series based on the empirical spectral measure ⋮ Testing for Stationarity in Multivariate Locally Stationary Processes ⋮ Discriminating between long-range dependence and non-stationarity ⋮ Empirical spectral processes for locally stationary time series ⋮ Discriminant analysis based on binary time series ⋮ A testing approach to clustering scalar time series ⋮ Walsh Fourier Transform of Locally Stationary Time Series ⋮ Clustering nonlinear, nonstationary time series using BSLEX ⋮ On the causality between multiple locally stationary processes ⋮ A similarity measure for second order properties of non-stationary functional time series with applications to clustering and testing ⋮ Large-deviation results for discriminant statistics of Gaussian locally stationary processes ⋮ Time-frequency clustering and discriminant analysis. ⋮ COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES ⋮ An extension of Fisher's discriminant analysis for stochastic processes ⋮ Biological applications of time series frequency domain clustering ⋮ Cluster Analysis for Stable Processes ⋮ Classification and similarity analysis of fundamental frequency patterns in infant spoken language acquisition ⋮ Classification of multivariate non-stationary signals: the SLEX-shrinkage approach ⋮ CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES ⋮ Discrimination of locally stationary time series using wavelets ⋮ Discrimination Measures for Fractional Integrated Models Based on Wavelets ⋮ Testing Semiparametric Hypotheses in Locally Stationary Processes ⋮ LAN theorem for non-Gaussian locally stationary processes and its applications ⋮ Classification of cyclical time series using complex demodulation

Uses Software

• astsa

Cites Work

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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• Robust linear extrapolations of second-order stationary processes
• Fitting time series models to nonstationary processes
• Asymptotic theory of statistical inference for time series
• A likelihood approximation for locally stationary processes
• Discrimination and Clustering for Multivariate Time Series
• CLASSIFICATION OF TEXTURES USING SECOND-ORDER SPECTRA
• Linear Discriminant Functions for Stationary Time Series
• The Influence Curve and Its Role in Robust Estimation
• DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES
• Time-Dependent Spectral Analysis of Nonstationary Time Series

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