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- Title
Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures.
- Authors
Mengyuan Xu; Woodward, Wayne A.; Gray, Henry L.
- 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 componentsmay in fact overlap in time.
- Subjects
STOCHASTIC processes; TIME-frequency analysis; TIME series analysis; AUTOCORRELATION (Statistics); HARMONIC analysis (Mathematics)
- Publication
Journal of Probability & Statistics, 2013, p1
- ISSN
1687-952X
- Publication type
Article
- DOI
10.1155/2013/569597