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Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures

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  • Mengyuan Xu
  • Wayne A. Woodward
  • Henry L. Gray

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.

Suggested Citation

  • Mengyuan Xu & Wayne A. Woodward & Henry L. Gray, 2013. "Using Time Deformation to Filter Nonstationary Time Series with Multiple Time-Frequency Structures," Journal of Probability and Statistics, Hindawi, vol. 2013, pages 1-15, March.
    • Handle: RePEc:hin:jnljps:569597
    DOI: 10.1155/2013/569597
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