Prediction for Non-Stationary Stochastic Processes – II
نویسنده
چکیده
A method is presented for extrapolation of time-series which contain time-varying frequency components. The time-series is complex-demodulated at a set of frequencies. The resulting time-frequency time-series are assumed to be time-dependent such that the amplitude and phase change relatively slowly with time. This change is taken into account in the extrapolation. This model of a non-stationary time-series was first expressed by Wald in 1936[9, 10] as part of his research concerning the seasonal variation of economic time-series. It is also closely related to Gabor’s time-frequency analysis in his 1946 paper[3].
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تاریخ انتشار 2009