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用于时变谱分析的平滑样条 ANOVAAI 解读

In this article we propose a smoothing spline ANOVA model (SS-ANOVA) to estimate and to make inference on the time-varying log-spectrum of a locally stationary process. The time-varying spectrum is assumed to be smooth in both time and frequency. This assumption essentially turns a time-frequency spectral estimation problem into a 2-dimensional surface estimation problem. A smooth localized complex exponential (SLEX) basis is used to calculate the initial periodograms, and a…

二元非平稳时间序列的自动统计分析AI 解读

We propose a new method for analyzing bivariate nonstationary time series. The proposed method is a statistical procedure that automatically segments the time series into approximately stationary blocks and selects the span to be used to obtain the smoothed estimates of the time-varying spectra and coherence. It is based on the smooth localized complex exponential (SLEX) transform, which forms a library of orthogonal complex-valued transforms that are simultaneously…