Stationarity and nonstationarity in time series analysis
Stationarity and nonstationarity in time series analysis
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DOI：
10.1016/s0167-2789(96)00139-x
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发表时间：
1996-12-15
期刊：
影响因子：
4
通讯作者：
Savit, R
中科院分区：
文献类型：
--
作者：
Manuca, R;Savit, R
本文介绍了一类新的方法来测试、建模和描述非平稳过程。为了构造这些方法，我们将自治系统的动力学描述推广到非自治系统的情况。特别令人感兴趣的是那些驱动力是循环的系统。对于这些系统，我们描述了一种方法来发现递归并改善重建时间序列中的统计量，从而提高可预测性。另一个目标是对非平稳性的适当描述。所有这些方法都应用于四个实例。
In this paper we introduce a new class of methods to test, model and describe nonstationary processes. To frame these methods, we generalize the dynamical description of autonomous systems to the case of nonautonomous systems. Of particular interest are systems for which the driving force is recurrent. For these systems we describe a method to find recurrences and to improve the statistics in reconstructing the time series and, consequently, to improve the predictability. Another objective is a proper description of the nonstationarity. All these methods are applied to four examples.