Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures

Mengyuan Xu, Wayne A. Woodward and Henry L. Gray

Journal of Probability and Statistics, 2013, vol. 2013, 1-15

Abstract:

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.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:569597

DOI: 10.1155/2013/569597

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