SLEX Analysis of Multivariate Nonstationary Time Series
نویسندگان
چکیده
منابع مشابه
SLEX Analysis of Multivariate Nonstationary Time Series
We develop a procedure for analyzing multivariate nonstationary time series using the SLEX library (smooth localized complex exponentials), which is a collection of bases, each basis consisting of waveforms that are orthogonal and time-localized versions of the Fourier complex exponentials. Under the SLEX framework, we build a family of multivariate models that can explicitly characterize the t...
متن کاملAdaptive Bayesian Power Spectrum Analysis of Multivariate Nonstationary Time Series
This article introduces a nonparametric approach to multivariate time-varying power spectrum analysis. The procedure adaptively partitions a time series into an unknown number of approximately stationary segments, where some spectral components may remain unchanged across segments, allowing components to evolve differently over time. Local spectra within segments are fit through Whittle likelih...
متن کاملDiscrimination and Classification of Nonstationary Time Series Using the SLEX Model
Statistical discrimination for nonstationary random processes is important in many applications. Our goal was to develop a discriminant scheme that can extract local features of the time series, is consistent, and is computationally efficient. Here, we propose a discriminant scheme based on the SLEX (smooth localized complex exponential) library. The SLEX library forms a collection of Fourier-t...
متن کاملFast and Improved SLEX Analysis of High-Dimensional Time Series
We address the problem of segmenting a multi-dimensional time series into stationary blocks by improving AutoSLEX[1], which has been successfully used for this purpose. AutoSLEX finds the best basis in a library of smoothed localized exponentials (SLEX) basis functions that are orthogonal and localized in both time and frequency. We introduce DynamicSLEX, a variant of AutoSLEX that relaxes the ...
متن کاملSemiparametric Estimation in Multivariate Nonstationary Time Series Models
A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly exogenous. The parametric regressors may be stationary or nonstationary and the nonparametric regressors ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2005
ISSN: 0162-1459,1537-274X
DOI: 10.1198/016214504000001448