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Analysis of Non-Stationary Modulated Time Series with Applications to Oceanographic Surface Flow Measurements

Author

Listed:
  • Pierre Perron
  • Eduardo Zorita
  • Arthur P. Guillaumin
  • Adam M. Sykulski
  • Sofia C. Olhede
  • Jeffrey J. Early
  • Jonathan M. Lilly

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Suggested Citation

  • Pierre Perron & Eduardo Zorita & Arthur P. Guillaumin & Adam M. Sykulski & Sofia C. Olhede & Jeffrey J. Early & Jonathan M. Lilly, 2017. "Analysis of Non-Stationary Modulated Time Series with Applications to Oceanographic Surface Flow Measurements," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 668-710, September.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:5:p:668-710
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    File URL: http://hdl.handle.net/10.1111/jtsa.12244
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    References listed on IDEAS

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    1. Jiancheng Jiang & Y. Hui, 2004. "Spectral density estimation with amplitude modulation and outlier detection," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(4), pages 611-630, December.
    2. Gneiting, Tilmann & Kleiber, William & Schlather, Martin, 2010. "Matérn Cross-Covariance Functions for Multivariate Random Fields," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1167-1177.
    3. Efstathios Paparoditis & Dimitris N. Politis, 2012. "Nonlinear spectral density estimation: thresholding the correlogram," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(3), pages 386-397, May.
    4. Joseph Guinness & Michael L. Stein, 2013. "Transformation to approximate independence for locally stationary Gaussian processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 574-590, September.
    5. Gerhard Runstler, 2004. "Modelling phase shifts among stochastic cycles," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 232-248, June.
    6. Le Breton, A., 1988. "A note on maximum likelihood estimation for the complex-valued first-order autoregressive process," Statistics & Probability Letters, Elsevier, vol. 7(2), pages 171-173, September.
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    Cited by:

    1. Holger Dette & Weichi Wu, 2020. "Prediction in locally stationary time series," Papers 2001.00419, arXiv.org, revised Jan 2020.

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