Non-parametric and adaptive modelling of dynamic periodicity and trend with heteroscedastic and dependent errors

DOI10.1111/RSSB.12039MaRDI QIDQ5743259zbMATH OpenOpenAlexFDO

Authors Yu Chun Chen, Ming-Yen Cheng, H.-T. Wu

Publication date 9 May 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.4672

zbMATH Keywords

autoregressive moving average errorscontinuous time autoregressive moving average processescyclesinstantaneous frequencynon-stationary processesperiodic functionssynchro-squeezing transformtime-frequency analysis

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: Seasonality (or periodicity) and trend are features describing an observed sequence, and extracting these features is an important issue in many scientific fields. However, it is not an easy task for existing methods to analyze simultaneously the trend and {it dynamics} of the seasonality such as time-varying frequency and amplitude, and the {it adaptivity} of the analysis to such dynamics and robustness to heteroscedastic, dependent errors is not guaranteed. These tasks become even more challenging when there exist multiple seasonal components. We propose a nonparametric model to describe the dynamics of multi-component seasonality, and investigate the recently developed Synchrosqueezing transform (SST) in extracting these features in the presence of a trend and heteroscedastic, dependent errors. The identifiability problem of the nonparametric seasonality model is studied, and the adaptivity and robustness properties of the SST are theoretically justified in both discrete- and continuous-time settings. Consequently we have a new technique for de-coupling the trend, seasonality and heteroscedastic, dependent error process in a general nonparametric setup. Results of a series of simulations are provided, and the incidence time series of varicella and herpes zoster in Taiwan and respiratory signals observed from a sleep study are analyzed.

Recommendations

• scientific article; zbMATH DE number 7594588
• Nonparametric estimation of a periodic sequence in the presence of a smooth trend
• Frequency and phase estimation in time series with quasi periodic components.
• Analyzing non-stationary signals using generalized multiple fundamental frequency model
• Bayesian model search for nonstationary periodic time series

Cited in

(23)

• Sparse seasonal and periodic vector autoregressive modeling
• Statistical analysis of synchrosqueezed transforms
• Wave-shape function analysis. When cepstrum meets time-frequency analysis
• Improve concentration of frequency and time (ConceFT) by novel complex spherical designs
• Wave-shape oscillatory model for nonstationary periodic time series analysis
• Reconsider phase reconstruction in signals with dynamic periodicity from the modern signal processing perspective
• Disentangling modes with crossover instantaneous frequencies by synchrosqueezed chirplet transforms, from theory to application
• Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
• Airflow recovery from thoracic and abdominal movements using synchrosqueezing transform and locally stationary Gaussian process regression
• Synchrosqueezed wave packet transforms and diffeomorphism based spectral analysis for 1D general mode decompositions
• Convex optimization approach to signals with fast varying instantaneous frequency
• Signal analysis via instantaneous frequency estimation of signal components
• When Ramanujan meets time-frequency analysis in complicated time series analysis
• Explore Intrinsic Geometry of Sleep Dynamics and Predict Sleep Stage by Unsupervised Learning Techniques
• Carrier frequencies, holomorphy, and unwinding
• The synchrosqueezing transform for instantaneous spectral analysis
• Robust Inference for Nonstationary Time Series with Possibly Multiple Changing Periodic Structures
• Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation
• Functional semiparametric modeling for nonstationary and periodic time series data
• On spectral interference of the short-time Fourier transform and its nonlinear variations
• Adaptive local iterative filtering for signal decomposition and instantaneous frequency analysis
• The monogenic synchrosqueezed wavelet transform: a tool for the decomposition/demodulation of AM-FM images
• Signal decomposition and analysis via extraction of frequencies

This page was built for publication: Non-parametric and adaptive modelling of dynamic periodicity and trend with heteroscedastic and dependent errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5743259)