Smoothing non-stationary time series using the discrete cosine transform

DOI10.1007/S11424-015-4071-7zbMATH Open1376.37124OpenAlexW2219049371MaRDI QIDQ328074FDOQ328074

Authors Dimitrios Thomakos

Publication date 20 October 2016

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-015-4071-7

zbMATH Keywords

non-stationary time seriesdiscrete cosine transformsingular spectrum analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

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Cites work

• scientific article; zbMATH DE number 3582638 (Why is no real title available?)
• A review on singular spectrum analysis for economic and financial time series
• Analysis of time series structure. SSA and related techniques
• Challenges of trending time series econometrics
• Combining singular spectrum analysis and \(\mathrm{PAR}(p)\) structures to model wind speed time series
• Discrete Cosine Transform
• Discrete cosine transform filtering
• Exchange rate forecasting with optimum singular spectrum analysis
• Integrated processes and the discrete cosine transform
• Low frequency filtering and real business cycles
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• Signal extraction for finite nonstationary time series
• Signal extraction from nonstationary time series
• Signal extraction. Efficient estimation, `unit root'-tests and early detection of turning points.
• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Trend estimation and de-trending via rational square-wave filters
• Windowed discrete cosine and sine transforms for shifting data

Cited in

(2)

• Low-complexity 8-point DCT approximation based on angle similarity for image and video coding
• Integrated processes and the discrete cosine transform

Describes a project that uses

Uses Software

• CaterpillarSSA

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