Using time deformation to filter nonstationary time series with multiple time-frequency structures (Q1952475)
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scientific article; zbMATH DE number 6168867
| Language | Label | Description | Also known as |
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| English | Using time deformation to filter nonstationary time series with multiple time-frequency structures |
scientific article; zbMATH DE number 6168867 |
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Using time deformation to filter nonstationary time series with multiple time-frequency structures (English)
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31 May 2013
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Summary: For nonstationary time series consisting of multiple time-varying frequency (TVF) components where the frequency of components overlaps in time, classical linear filters fail to extract components. The G-filter based on time deformation has been developed to extract components of multicomponent G-stationary processes. In this paper, we explore the wide application of the G-filter for filtering different types of nonstationary processes with multiple time-frequency structure. Simulation examples illustrate that the G-filter can be applied to filter a broad range of multicomponent nonstationary process where TVF components may in fact overlap in time.
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