G-filtering nonstationary time series

DOI10.1155/2012/738636zbMath1233.62169OpenAlexW2005506704WikidataQ58910984 ScholiaQ58910984MaRDI QIDQ764443

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

Publication date: 13 March 2012

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

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

Mathematics Subject Classification ID

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

Related Items (1)

Using time deformation to filter nonstationary time series with multiple time-frequency structures

Uses Software

• GW-WINKS

Cites Work

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• The generalized linear chirp process
• Time-frequency analysis -- \(G(\lambda)\)-stationary processes
• Estimating deformations of stationary processes
• Semigroup stationary processes and spectral representation
• Reducing non-stationary stochastic processes to stationarity by a time deformation
• The application of the Kalman filter to nonstationary time series through time deformation
• ON A CLASS OF NONSTATIONARY PROCESSES
• Nonstationary Data Analysis by Time Deformation

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