G-filtering nonstationary time series

DOI10.1155/2012/738636MaRDI QIDQ764443zbMATH OpenOpenAlexWikidataFDO

Authors Mengyuan Xu, Krista B. Cohlmia, Wayne A. Woodward, Henry L. Gray

Publication date 13 March 2012

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/738636

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3890413 (Why is no real title available?)
• scientific article; zbMATH DE number 2064991 (Why is no real title available?)
• scientific article; zbMATH DE number 2064992 (Why is no real title available?)
• Applied time series analysis
• Estimating deformations of stationary processes
• Nonstationary Data Analysis by Time Deformation
• ON A CLASS OF NONSTATIONARY PROCESSES
• Reducing non-stationary stochastic processes to stationarity by a time deformation
• Semigroup stationary processes and spectral representation
• The application of the Kalman filter to nonstationary time series through time deformation
• The generalized linear chirp process
• Time-frequency analysis -- \(G(\lambda)\)-stationary processes

Cited in

(3)

• Using time deformation to filter nonstationary time series with multiple time-frequency structures
• The application of the Kalman filter to nonstationary time series through time deformation
• Time-frequency analysis -- \(G(\lambda)\)-stationary processes

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Uses Software

• GW-WINKS

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