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Using time deformation to filter nonstationary time series with multiple time-frequency structures. (English) Zbl 1273.62230

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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10 Stationary stochastic processes
94A12 Signal theory (characterization, reconstruction, filtering, etc.)

Software:

GW-WINKS
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References:

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