Statistical inference for oscillation processes
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Abstract: A new model for time series with a specific oscillation pattern is proposed. The model consists of a hidden phase process controlling the speed of polling and a nonparametric curve characterizing the pattern, leading together to a generalized state space model. Identifiability of the model is proved and a method for statistical inference based on a particle smoother and a nonparametric EM algorithm is developed. In particular, the oscillation pattern and the unobserved phase process are estimated. The proposed algorithms are computationally efficient and their performance is assessed through simulations and an application to human electrocardiogram recordings.
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Cited in
(10)- On the relationship between the theory of cointegration and the theory of phase synchronization
- Statistical estimation of the oscillating Brownian motion
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- Identifying the recurrence of sleep apnea using a harmonic hidden Markov model
- scientific article; zbMATH DE number 883618 (Why is no real title available?)
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