Non-Parametric and Adaptive Modelling of Dynamic Periodicity and Trend with Heteroscedastic and Dependent Errors
异方差相关误差下动态周期与趋势的非参数自适应建模
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…