Metzner, Philipp; Putzig, Lars; Horenko, Illia Analysis of persistent nonstationary time series and applications. (English) Zbl 1275.62067 Commun. Appl. Math. Comput. Sci. 7, No. 2, 175-229 (2012). 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. Reviewer: Miroslav M. Ristic (Niš) Cited in 8 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62M20 Inference from stochastic processes and prediction 62H30 Classification and discrimination; cluster analysis (statistical aspects) 65C60 Computational problems in statistics (MSC2010) Keywords:nonstationary data analysis; clustering; finite element method × Cite Format Result Cite Review PDF Full Text: DOI Link