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可能存在多次周期结构变化的非平稳时间序列稳健推断AI 解读

Motivated by two examples concerning global warming and monthly total import and export by China, we study time series that contain a nonparametric periodic component with an unknown period, a nonparametric trending behavior and also additive covariate effects. Further, as the amplitude function may change at some known or unknown change-point(s), we extend our model to take this dynamical periodicity into account and introduce two change-point estimators. To the best of…

异方差相关误差下动态周期与趋势的非参数自适应建模AI 解读

Summary Periodicity and trend are features describing an observed sequence, and extracting these features is an important issue in many scientific fields. However, it is not an easy task for existing methods to analyse simultaneously the trend and dynamics of the periodicity such as time varying frequency and amplitude, and the adaptivity of the analysis to such dynamics and robustness to heteroscedastic dependent errors are not guaranteed. These tasks become even more…