Stationarity and nonstationarity in time series analysis

被引:141
作者
Manuca, R [1 ]
Savit, R [1 ]
机构
[1] UNIV MICHIGAN,PROGRAM STUDY COMPLEX SYST,ANN ARBOR,MI 48109
来源
PHYSICA D | 1996年 / 99卷 / 2-3期
基金
美国国家卫生研究院;
关键词
D O I
10.1016/S0167-2789(96)00139-X
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
In this paper we introduce a new class of methods to test, model and describe nonstationary processes. To frame these methods, we generalize the dynamical description of autonomous systems to the case of nonautonomous systems. Of particular interest are systems for which the driving force is recurrent. For these systems we describe a method to find recurrences and to improve the statistics in reconstructing the time series and, consequently, to improve the predictability. Another objective is a proper description of the nonstationarity. All these methods are applied to four examples.
引用
收藏
页码:134 / 161
页数:28
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