Detection of changes in non-linear dynamics for time series based on the theory of KM₂ O-Langevin equations

DOI10.1007/S13160-011-0055-8zbMATH Open1254.37050OpenAlexW2066795834MaRDI QIDQ692040FDOQ692040

Authors: Tetsuji Hidaka, Yasunori Okabe 

Publication date: 4 December 2012

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-011-0055-8

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zbMATH Keywords

time serieschange point detectionself-organizing mapsnon-linear dynamicsthe theory of \(\mathrm{KM}_2 \mathrm O\)-Langevin equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)

Cites Work

• Self-organized formation of topologically correct feature maps
• An online kernel change detection algorithm
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• On a nonlinear prediction problem for one-dimensional stochastic processes
• Langevin equations and causal analysis
• The theory of KM₂O-Langevin equations and its applications to data analysis (III): Deterministic analysis
• The theory of KM₂O-Langevin equations and applications to data analysis (II): Causal analysis (1)
• Title not available (Why is that?)
• The theory of KM\(_2\)O-Langevin equations and its applications to data analysis. I: Stationary analysis

Cited In (2)

• Detection of change in non-linear dynamics behind the periodic time series and its application to solar cycle prediction
• Application of the theory of \(\text{KM}_ 2\)O-Langevin equations to the linear prediction problem for the multi-dimensional weakly stationary time series

Uses Software

• SOM_PAK

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