Related papers: Wavelet Based Periodic Autoregressive Moving Avera…
In the paper we design a Parseval wavelet frame with a compact support and many vanishing moments. The corresponding refinement mask approximates an arbitrary continuous periodic function $f$, $f(0)=1$. The refinable function has stable…
We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…
Piecewise Aggregate Approximation (PAA) is a competitive basic dimension reduction method for high-dimensional time series mining. When deployed, however, the limitations are obvious that some important information will be missed,…
The time series with periodic behavior, such as the periodic autoregressive (PAR) models belonging to the class of the periodically correlated processes, are present in various real applications. In the literature, such processes were…
We present the applications of wavelet analysis methods in constrained variational framework to calculation of dynamical aperture. We construct represention via exact nonlinear high-localized periodic eigenmodes expansions, which allows to…
In this paper, a new efficient feature extraction method based on the adaptive threshold of wavelet package coefficients is presented. This paper especially deals with the assessment of autonomic nervous system using the background…
In this paper, we introduce the concept of fractional integration for spatial autoregressive models. We show that the range of the dependence can be spatially extended or diminished by introducing a further fractional integration parameter…
An analytically simple and tractable formula for the start-up autocovariances of periodic ARMA (PARMA) models is provided.
Autoregressive moving average (ARMA) models are widely used for analyzing time series data. However, standard likelihood-based inference methodology for ARMA models has avoidable limitations. We show that currently accepted standards for…
Two mathematical methods, the Fourier and wavelet transforms, were used to study the short term cardiovascular control system. Time series, picked from electrocardiogram and arterial blood pressure lasting 6 minutes, were analyzed in supine…
Let Y be a response variable related with a set of explanatory variables and let f1, f2, ..., fk be a set of the parametric forms representing a set of candidate's model. Let f* be the true model among the set of k plausible models. We…
Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. However, neither theory nor estimation methods are currently…
We propose a wavelet based method for the characterization of the scaling behavior of non-stationary time series. It makes use of the built-in ability of the wavelets for capturing the trends in a data set, in variable window sizes.…
Two-dimensional (2-D) autoregressive moving average (ARMA) models are commonly applied to describe real-world image data, usually assuming Gaussian or symmetric noise. However, real-world data often present non-Gaussian signals, with…
We propose a supervised learning algorithm for machine learning applications. Contrary to the model developing in the classical methods, which treat training, validation, and test as separate steps, in the presented approach, there is a…
Vector autoregressive (VAR) models are popularly adopted for modelling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modelling, the number of parameters grow quadratically with…
In the present paper, we derive lower bounds for the risk of the nonparametric empirical Bayes estimators. In order to attain the optimal convergence rate, we propose generalization of the linear empirical Bayes estimation method which…
A method is presented for investigating the periodic signal content of time series in which a number of signals is present, such as arising from the observation of multiperiodic oscillating stars in observational asteroseismology. Standard…
In this paper we present a general approach to multivariate periodic wavelets generated by scaling functions of de la Vall\'ee Poussin type. These scaling functions and their corresponding wavelets are determined by their Fourier…
Autoregressive models are ubiquitous tools for the analysis of time series in many domains such as computational neuroscience and biomedical engineering. In these domains, data is, for example, collected from measurements of brain activity.…