Analysis of persistent nonstationary time series and applications
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.
scientific article; zbMATH DE number 6130513