Online inference for time-varying temporal dependency discovery from time series

Author(s):  
Chunqiu Zeng ◽  
Qing Wang ◽  
Wentao Wang ◽  
Tao Li ◽  
Larisa Shwartz
Author(s):  
Arnaud Dufays ◽  
Elysee Aristide Houndetoungan ◽  
Alain Coën

Abstract Change-point (CP) processes are one flexible approach to model long time series. We propose a method to uncover which model parameters truly vary when a CP is detected. Given a set of breakpoints, we use a penalized likelihood approach to select the best set of parameters that changes over time and we prove that the penalty function leads to a consistent selection of the true model. Estimation is carried out via the deterministic annealing expectation-maximization algorithm. Our method accounts for model selection uncertainty and associates a probability to all the possible time-varying parameter specifications. Monte Carlo simulations highlight that the method works well for many time series models including heteroskedastic processes. For a sample of fourteen hedge fund (HF) strategies, using an asset-based style pricing model, we shed light on the promising ability of our method to detect the time-varying dynamics of risk exposures as well as to forecast HF returns.


2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Chang-Sheng Lin ◽  
Dar-Yun Chiang ◽  
Tse-Chuan Tseng

Modal Identification is considered from response data of structural systems under nonstationary ambient vibration. The conventional autoregressive moving average (ARMA) algorithm is applicable to perform modal identification, however, only for stationary-process vibration. The ergodicity postulate which has been conventionally employed for stationary processes is no longer valid in the case of nonstationary analysis. The objective of this paper is therefore to develop modal-identification techniques based on the nonstationary time series for linear systems subjected to nonstationary ambient excitation. Nonstationary ARMA model with time-varying parameters is considered because of its capability of resolving general nonstationary problems. The parameters of moving averaging (MA) model in the nonstationary time-series algorithm are treated as functions of time and may be represented by a linear combination of base functions and therefore can be used to solve the identification problem of time-varying parameters. Numerical simulations confirm the validity of the proposed modal-identification method from nonstationary ambient response data.


2019 ◽  
Vol 9 (4) ◽  
pp. 777 ◽  
Author(s):  
Gaoyuan Pan ◽  
Shunming Li ◽  
Yanqi Zhu

Traditional correlation analysis is analyzed separately in the time domain or the frequency domain, which cannot reflect the time-varying and frequency-varying characteristics of non-stationary signals. Therefore, a time–frequency (TF) correlation analysis method of time series decomposition (TD) derived from synchrosqueezed S transform (SSST) is proposed in this paper. First, the two-dimensional time–frequency matrices of the signals is obtained by synchrosqueezed S transform. Second, time series decomposition is used to transform the matrices into the two-dimensional time–time matrices. Third, a correlation analysis of the local time characteristics is carried out, thus attaining the time–frequency correlation between the signals. Finally, the proposed method is validated by stationary and non-stationary signals simulation and is compared with the traditional correlation analysis method. The simulation results show that the traditional method can obtain the overall correlation between the signals but cannot reflect the local time and frequency correlations. In particular, the correlations of non-stationary signals cannot be accurately identified. The proposed method not only obtains the overall correlations between the signals, but can also accurately identifies the correlations between non-stationary signals, thus showing the time-varying and frequency-varying correlation characteristics. The proposed method is applied to the acoustic signal processing of an engine–gearbox test bench. The results show that the proposed method can effectively identify the time–frequency correlation between the signals.


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