Related papers: Asymmetric Huber Periodogram
We present the method of complementary ensemble empirical mode decomposition (CEEMD) and Hilbert-Huang transform (HHT) for analyzing nonstationary financial time series. This noise-assisted approach decomposes any time series into a number…
This paper presents a novel approach for the identification of linear time-periodic (LTP) systems in continuous time. This method is based on harmonic modeling and consists in converting any LTP system into an equivalent LTI system with…
We consider the problem of estimating the period of an unknown periodic function observed in additive noise sampled at irregularly spaced time instants in a semiparametric setting. To solve this problem, we propose a novel estimator based…
Periodograms are used as a key significance assessment and visualisation tool to display the significant periodicities in unevenly sampled time series. We introduce a framework of periodograms, called "Agatha", to disentangle periodic…
We propose a new measure for stationarity of a functional time series, which is based on an explicit representation of the $L^2$-distance between the spectral density operator of a non-stationary process and its best ($L^2$-)approximation…
Quantiles and expectiles are determined by different loss functions: asymmetric least absolute deviation for quantiles and asymmetric squared loss for expectiles. This distinction ensures that quantile regression methods are robust to…
This article considers a nonparametric method for detecting change points in non-stationary time series. The proposed method will divide the time series into several segments so that between two adjacent segments, the normalized spectral…
We introduce the asynchronous graph generator (AGG), a novel graph attention network for imputation and prediction of multi-channel time series. Free from recurrent components or assumptions about temporal/spatial regularity, AGG encodes…
The Hilbert-Huang transform (HHT) consists of empirical mode decomposition (EMD), which is a template-free method that represents the combination of different intrinsic modes on a time-frequency map (i.e., the Hilbert spectrum). The…
A plethora of outlier detectors have been explored in the time series domain, however, in a business sense, not all outliers are anomalies of interest. Existing anomaly detection solutions are confined to certain outlier detectors limiting…
Chirp signals are quite common in many natural and man-made systems like audio signals, sonar, radar etc. Estimation of the unknown parameters of a signal is a fundamental problem in statistical signal processing. Recently, Kundu and Nandi…
We comment on the new trend in mathematical physics that consists of obtaining Taylor series for fabricated linear and nonlinear unphysical models by means of homotopy perturbation method (HPM), homotopy analysis method (HAM) and Adomian…
The paper deals with the problem of estimating the M$^2$ (i.e. multivariate and multidimensional) spectral density function of a stationary random process or random field. We propose the $f$-truncated periodogram, i.e. a truncated…
Many industrial and engineering processes monitored as times series have smooth trends that indicate normal behavior and occasionally anomalous patterns that can indicate a problem. This kind of behavior can be modeled by a smooth trend,…
For many relevant statistics of multivariate time series, no valid frequency domain bootstrap procedures exist. This is mainly due to the fact that the distribution of such statistics depends on the fourth-order moment structure of the…
Periodograms are common tools used to search for periodic signals in unevenly spaced time series. The significance of periodogram peaks is often assessed using false alarm probability (FAP), which in most studies assumes uncorrelated noise…
A hybrid estimator of the log-spectral density of a stationary time series is proposed. First, a multiple taper estimate is performed, followed by kernel smoothing the log-multiple taper estimate. This procedure reduces the expected mean…
The aim of this article is to establish asymptotic distributions and consistency of subsampling for spectral density and for magnitude of coherence for non-stationary, almost periodically correlated time series. We show the asymptotic…
Smartwatches have become popular for monitoring physiological parameters outside clinical settings. Using reflective photoplethysmography (PPG) sensors, such watches can non-invasively estimate heart rate (HR) in everyday environments and…
Time-varying mixture densities occur in many scenarios, for example, the distributions of keywords that appear in publications may evolve from year to year, video frame features associated with multiple targets may evolve in a sequence. Any…