Non-Stationary Time Series
Trend analysis using non-stationary time series clustering based on the finite element method
... climatic time series with multiple linear trends and locate the times of significant ...used non-stationary time se- ries clustering to find change points in the ...multi-dimensional ...
11
Automatic Signal Extraction for Stationary and Non Stationary Time Series by Circulant SSA
... observed time series as the cycle or the ...a non-parametric (and, therefore, model free) procedure based on sub- space algorithms for signal ...a time series like the trend, cycle, ...
27
Calculating and interpreting multipliers in the presence of non-Stationary time series: The case of U.S. federal infrastructure spending
... In this analysis, we have discussed two measures that have been used by economists to measure changes in macroeconomic policies: the dynamic multiplier and the impulse response function. These two methods are not ...
15
A Combined Iteration Algorithm for the Implicit Cycles of Gold Price and the US Dollar Index
... two series are obviously non-stationary time series with both short and long periods, we came to suspect that the periodic components may better explain the negative correlation and ...
5
MAXIMUM NON-EXTENSIVE ENTROPY BLOCK BOOTSTRAP FOR NON-STATIONARY PROCESSES
... and non- parametric block-bootstrapping ...a non-stationary series is not common practice in the econometric ...for non-stationary time series there exists in the ...
29
Multifractal analysis of solar flare indices and their horizontal visibility graphs
... normalised, stationary time ...for non-stationary time series which are affected by ...the time series, which may be non-stationary (Kantelhardt et ...
9
Probabilistic Framework For A Time Series
... A time series X={X (t); t I} is said to be stationary in the wide sense if [5], Where Q ...sense time series ...many time series do not possess this property, the ...
6
An Analysis of Stock Index Distributions of Selected Emerging Markets
... market time series was presented in Section ...often non-stationary and that it is more reasonable to apply econometric tools to the log ...
18
Wavelet analysis for non-stationary, nonlinear time series
... nonstationary time series are introduced and devel- ...ideal time series and the quasi-biennial oscilla- tion (QBO) time ...QBO time series showed that the QBO time ...
11
Perturbation analysis in non-stationary ar(1) time series
... The first order autoregressive model AR(1) is often used for prediction in finance. This model is non-stationary if it has a unit root. Therefore, it is assumed that the slop parameter remains between − 1 and ...
5
Bayesian inference on non stationary data
... linear time series models, the AR ones for example, as Phillips argues, things appear to change radically, in that the parameters directly affect the correlation structure of the data: conditioning on the ...
215
On uniqueness of moving average representations of heavy tailed stationary processes
... of non-Gaussian i.i.d. processes plays an important role in time series, for instance in the analysis of time reversibility (see Hallin, Lefèvre and Puri (1988), Breidt and Davis ...
12
Construction of stationary time series via the Gibbs sampler with application to volatility models
... The structure of this paper is as follows. In Section 2 we derive rst-order autoregressive processes with specied marginal families. These processes may be used to directly model our observations in an analogous way to ...
31
Time Frequency Domain Characterization of Stationary and Non stationary Signals
... a time-domain signal into another domain, with the purpose of extracting the characteristic information embedded within the time series that is otherwise not readily observable in its original ...
12
Truncated Geometric Bootstrap Method for Time Series Stationary Process
... introduced non-parametric versions of the bootstrap that are applicable to weakly dependent sta- tionary ...the stationary time series ...a stationary bootstrap method generated by ...
6
Spectral-decomposition techniques for the identification of periodic and anomalous phenomena in radon time-series
... Sur-Frˆetes time-series (Perrier et ...Syabru-Bensi time-series, 21 Jan- uary 2005 to 22 December 2005 (Perrier et ...case, non-stationary features are clearly visible in the ...
6
A nonparametric approach to detecting changes in variance in locally stationary time series
... our non-parametric method for detecting changes in ...the time domain can be transformed into detecting a change in mean in a transformed domain, given a suitable ...locally stationary wavelet ...
37
Time-Frequency Domain Characterization of Stationary and Non stationary Signals
... a time-domain signal into another domain, with the purpose of extracting the characteristic information embedded within the time series that is otherwise not readily observable in its original ...
12
On the Application of Bootstrap Method to Stationary Time Series Process
... An excellent introduction to the bootstrap maybe found in the work of [4-9]. Recently, [10,11] have inde- pendently introduced non-parametric versions of the bootstrap that are applicable to weakly dependent sta- ...
5
A new approach for analysis of heart rate variability and QT variability in long-term ECG recording
... the non-stationarity challenge, it is possible to truncate the time series into overlapping or non-overlapping segments, and then evaluate the spectral ...the time series are ...
14