Time Deformation, Continuous Euler Processes and Forecasting

DOI10.1111/J.1467-9892.2006.00490.XMaRDI QIDQ3505306zbMATH OpenOpenAlexFDO

Authors Chu-Ping C. Vijverberg

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2006.00490.x

zbMATH Keywords

Kalman filteringinstantaneous frequencyinstantaneous spectruminstantaneous period

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics (62P99)

Recommendations

• Nonstationary Data Analysis by Time Deformation
• Euler(p, q) Processes and Their Application to Non Stationary Time Series with Time Varying Frequencies
• The application of the Kalman filter to nonstationary time series through time deformation
• Estimating deformations of stationary processes
• Kernel autocorrelogram for time-deformed processes

Cites work

• Modeling of Continuous Stochastic Processes from Discrete Observations with Application to Sunspots Data
• The scale representation

Cited in

(2)

• Time invariance of optimal control in a stochastic linear controller design with dynamic scaling of coefficients
• Nonstationary Data Analysis by Time Deformation

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