Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures
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-st...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
|
| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2013/569597 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832559868091826176 |
|---|---|
| author | Mengyuan Xu Wayne A. Woodward Henry L. Gray |
| author_facet | Mengyuan Xu Wayne A. Woodward Henry L. Gray |
| author_sort | Mengyuan Xu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-df373b7717174cf9b87d89f00e83e6bb |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-df373b7717174cf9b87d89f00e83e6bb2025-02-03T01:29:08ZengWileyJournal of Probability and Statistics1687-952X1687-95382013-01-01201310.1155/2013/569597569597Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency StructuresMengyuan Xu0Wayne A. Woodward1Henry L. Gray2Statistics Genomics Unit, NIH/NIMH (National Institutes of Health/National Institute of Mental Health), Bethesda, MD 20892, USADepartment of Statistical Science, Southern Methodist University, Dallas, TX 75205, USADepartment of Statistical Science, Southern Methodist University, Dallas, TX 75205, USAFor 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.http://dx.doi.org/10.1155/2013/569597 |
| spellingShingle | Mengyuan Xu Wayne A. Woodward Henry L. Gray Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures Journal of Probability and Statistics |
| title | Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures |
| title_full | Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures |
| title_fullStr | Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures |
| title_full_unstemmed | Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures |
| title_short | Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures |
| title_sort | using time deformation to filter nonstationary time series with multiple time frequency structures |
| url | http://dx.doi.org/10.1155/2013/569597 |
| work_keys_str_mv | AT mengyuanxu usingtimedeformationtofilternonstationarytimeserieswithmultipletimefrequencystructures AT wayneawoodward usingtimedeformationtofilternonstationarytimeserieswithmultipletimefrequencystructures AT henrylgray usingtimedeformationtofilternonstationarytimeserieswithmultipletimefrequencystructures |