Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures. (20th March 2013)

• Record Type: Journal Article
• Authors: Xu, Mengyuan; Woodward, Wayne A.; Gray, Henry L.
• Other Names: Bai Zhidong Academic Editor.
• Is Part Of: Journal of probability and statistics. Volume 2013(2013)
• Publication Date: 2013-03-20
• Subjects: Probabilities -- Periodicals; Mathematical statistics -- Periodicals; Mathematical statistics; Probabilities; Periodicals; 519
• DOI: 10.1155/2013/569597
• Languages: English
• ISSNs: 1687-952X

Abstract

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 components may in fact overlap in time.