The Fitting of Non-Stationary Time-Series Models with Time-Dependent Parameters

1970 ◽  
Vol 32 (2) ◽  
pp. 312-322 ◽  
Author(s):  
T. Subba Rao
Keyword(s):  
Time Series ◽  
Time Dependent ◽  
Stationary Time Series ◽  
Time Series Models ◽  
Stationary Time

Modeling and Predicting Non-Stationary Time Series

1997 ◽  
Vol 07 (08) ◽  
pp. 1823-1831 ◽  
Author(s):  
Liangyue Cao ◽  
Alistair Mees ◽  
Kevin Judd
Keyword(s):  
Time Series ◽  
Time Dependent ◽  
Stationary Time Series ◽  
Industrial System ◽  
Experimental Time ◽  
Stationary Time ◽  
Experimental Time Series ◽  
System States

Many experimental time series are non-stationary. Modeling and predicting them is generally considered to be difficult. In this paper we introduce time-dependent regressive (TDR) models, which depend not only on system states but also on time. We test artificial time series which come from parameter-changing systems and are therefore non-stationary, and a simulated experimental time series from a model of a non-stationary industrial system. The TDR models work well on those time series, not only in prediction but also in extraction of the underlying bifurcations.

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