Analysis of persistent nonstationary time series and applications
type: Item
instance of: scholarly article
title: Analysis of persistent nonstationary time series and applications
zbMATH Open document ID: 1275.62067
author: Philipp Metzner
author: Lars Putzig
author: Illia Horenko
published in: Communications in Applied Mathematics and Computational Science
publication date: 2013-01-25T00:00:00Z
full work available at URL: p02.xhtml
review text: The authors introduce a derivation of the general framework for analyzing nonstationary time series. In Section 2, a complete, unified and simplified derivation of the finite element methods of time series analysis with bounded variation of the model parameters (FEM-BV) methodology is given. In Section 3, a unified strategy for model selection is provided. In Section 4, a prediction strategy for predicting the dynamics with motivation is discussed. Finally, some numerical examples and possible applications are given in Section 5.
reviewed by: Miroslav M. Ristić
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62H30
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 6130513
zbMATH Keywords: nonstationary data analysis
zbMATH Keywords: clustering
zbMATH Keywords: finite element method
MaRDI profile type: Publication
OpenAlex ID: W2055849443
DOI: 10.2140/CAMCOS.2012.7.175
description: scientific article; zbMATH DE number 6130513