Related papers: Analyzing X-ray variability by Linear State Space …
In recent years, autoregressive models have had a profound impact on the description of astronomical time series as the observation of a stochastic process. These methods have advantages compared with common Fourier techniques concerning…
We propose the usage of an innovative method for selecting transients and variables. These sources are detected at different wavelengths across the electromagnetic spectrum spanning from radio waves to gamma-rays. We focus on radio signals…
Cyg X-1 exhibits irregular X-ray variability on all measured timescales. The usually applied shot noise models describe the typical short-term behavior of this source by superposition of randomly occuring shots with a distribution of shot…
Time series observations are ubiquitous in astronomy, and are generated to distinguish between different types of supernovae, to detect and characterize extrasolar planets and to classify variable stars. These time series are usually…
Most time-series models assume that the data come from observations that are equally spaced in time. However, this assumption does not hold in many diverse scientific fields, such as astronomy, finance, and climatology, among others. There…
Linear State Space Modeling determines the hidden autoregressive (AR) process in a noisy time series; for an AR process the time series' current value is the sum of current stochastic ``noise'' and a linear combination of previous values.…
The analysis of eight EXOSAT X-ray lightcurves of six active galactic nuclei by nonlinear prediction methods indicates that the observed short time-scale variability is truly stochastic and is not caused by deterministic chaos. This result…
A novel first-order autoregressive moving average model for analyzing discrete-time series observed at irregularly spaced times is introduced. Under Gaussianity, it is established that the model is strictly stationary and ergodic. In the…
A common feature of Active Galactic Nuclei (AGN) is their random variations in brightness across the whole emission spectrum, from radio to $\gamma$-rays. Studying the nature and origin of these fluctuations is critical to characterising…
Latent autoregressive processes are a popular choice to model time varying parameters. These models can be formulated as nonlinear state space models for which inference is not straightforward due to the high number of parameters. Therefore…
In several disciplines it is common to find time series measured at irregular observational times. In particular, in astronomy there are a large number of surveys that gather information over irregular time gaps and in more than one…
The space time autoregressive model has been widely applied in science, in areas such as economics, public finance, political science, agricultural economics, environmental studies and transportation analyses. The classical space time…
The spatio-temporal autoregressive moving average (STARMA) model is frequently used in several studies of multivariate time series data, where the assumption of stationarity is important, but it is not always guaranteed in practice. One way…
The paper proposes an identification procedure for autoregressive gaussian stationary stochastic processes wherein the manifest (or observed) variables are mostly related through a limited number of latent (or hidden) variables. The method…
Data-driven, model-free analytics are natural choices for discovery and forecasting of complex, nonlinear systems. Methods that operate in the system state-space require either an explicit multidimensional state-space, or, one approximated…
In this work, we consider the class of multi-state autoregressive processes that can be used to model non-stationary time-series of interest. In order to capture different autoregressive (AR) states underlying an observed time series, it is…
We analyze the variability in the X-ray lightcurves of the black hole candidate Cygnus X-1 by linear and nonlinear time series analysis methods. While a linear model describes the over-all second order properties of the observed data well,…
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.…
Motivated by a variety of applications, high-dimensional time series have become an active topic of research. In particular, several methods and finite-sample theories for individual stable autoregressive processes with known lag have…
The study of X-ray time-lag spectra in active galactic nuclei (AGN) is currently an active research area, since it has the potential to illuminate the physics and geometry of the innermost region (i.e. close to the putative super-massive…