相关论文: Characterizing and modeling cyclic behavior in non…

The multiscale dynamics of glow discharge plasma is analysed through wavelet transform, whose scale dependent variable window size aptly captures both transients and non-stationary periodic behavior. The optimal time-frequency localization…

We perform non-linear analysis on stock market indices using time-dependent extended Tsallis statistics. Specifically, we evaluate the q-triplet for particular time periods with the purpose of demonstrating the temporal dependence of the…

We propose a novel Bayesian methodology for analyzing nonstationary time series that exhibit oscillatory behaviour. We approximate the time series using a piecewise oscillatory model with unknown periodicities, where our goal is to estimate…

The accurate estimation of scaling exponents is central in the observational study of scale-invariant phenomena. Natural systems unavoidably provide observations over restricted intervals; consequently a stationary stochastic process (time…

This article introduces the class of continuous time locally stationary wavelet processes. Continuous time models enable us to properly provide scale-based time series models for irregularly-spaced observations for the first time, while…

An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the…

Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…

We describe a simple automated method to extract and quantify transient heterogeneous dynamical changes from large datasets generated in single molecule/particle tracking experiments. Based on wavelet transform, the method transforms raw…

This paper introduces the novel class of modulated cyclostationary processes, a class of non-stationary processes exhibiting frequency coupling, and proposes a method of their estimation from repeated trials. Cyclostationary processes also…

Rhythmic data are ubiquitous in the life sciences. Biologists need reliable statistical tests to identify whether a particular experimental treatment has caused a significant change in a rhythmic signal. When these signals display…

Scaling has been proposed as a powerful tool to analyze the properties of complex systems, and in particular for cities where it describes how various properties change with population. The empirical study of scaling on a wide range of…

While a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with…

We develop a timescale synthesis-based probabilistic approach for the modeling of locally stationary signals. Inspired by our previous work, the model involves zero-mean, complex Gaussian wavelet coefficients, whose distribution varies as a…

This article introduces a nonparametric approach to spectral analysis of a high-dimensional multivariate nonstationary time series. The procedure is based on a novel frequency-domain factor model that provides a flexible yet parsimonious…

We propose a general statistical framework for clustering multiple time series that exhibit nonlinear dynamics into an a-priori-unknown number of sub-groups. Our motivation comes from neuroscience, where an important problem is to identify,…

Graph models provide efficient tools to capture the underlying structure of data defined over networks. Many real-world network topologies are subject to change over time. Learning to model the dynamic interactions between entities in such…

Scaling analysis exploiting timescale separation has been one of the most important techniques in the quantitative analysis of nonlinear dynamical systems in mathematical and theoretical biology. In the case of enzyme catalyzed reactions,…

Probabilistic forecasting of multivariate time series is essential for various downstream tasks. Most existing approaches rely on the sequences being uniformly spaced and aligned across all variables. However, real-world multivariate time…

We introduce a Gaussian process-based model for handling of non-stationarity. The warping is achieved non-parametrically, through imposing a prior on the relative change of distance between subsequent observation inputs. The model allows…

Different disciplines pursue the aim to develop models which characterize certain phenomena as accurately as possible. Climatology is a prime example, where the temporal evolution of the climate is modeled. In order to compare and improve…