Computational modeling of multivariable non-stationary time series in the state space by the AOKI_VAR algorithm

被引：0
|
作者：
Tobar, Johanna [1 ]
Bottura, Celso [1 ]
Giesbrechtr, Mateus [1 ]
机构：
[1] State University of Campinas, Campinas, Brazil
来源：
IAENG International Journal of Computer Science | 2010年 / 37卷 / 04期
关键词：
Computation theory - Random processes - Stochastic systems - Time series;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this work we propose an iterative e algorithm for identification in the state space of multivariable non-stationary discrete time series considering and implementing a computational process which we will call AOKI_VAR. The proposed algorithm is based on an algorithm proposed by Masanao Aoki for computational modeling of time series. A modeling example is presented as well as discussions on validation, prediction and modeling of time series.
引用
收藏
相关论文
共 50 条
  • [41] Generalized subsampling procedure for non-stationary time series
    Lenart, Lukasz
    ELECTRONIC JOURNAL OF STATISTICS, 2018, 12 (02): : 3875 - 3907
  • [42] Marked empirical processes for non-stationary time series
    Chan, Ngai Hang
    Zhang, Rongmao
    BERNOULLI, 2013, 19 (5A) : 2098 - 2119
  • [43] Comparing non-stationary and irregularly spaced time series
    Salcedo, Gladys E.
    Porto, Rogerio F.
    Morettin, Pedro A.
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2012, 56 (12) : 3921 - 3934
  • [44] Artificial neural networks for non-stationary time series
    Kim, TY
    Oh, KJ
    Kim, CH
    Do, JD
    NEUROCOMPUTING, 2004, 61 : 439 - 447
  • [45] Multi-SVR based fuzzy modeling method for non-stationary time series
    College of Information Science and Engineering, Northeastern University, Shenyang 110004, China
    1600, 1929-1932 (October 2006):
  • [46] SUSPEND: Determining software suspiciousness by non-stationary time series modeling of entropy signals
    Wojnowicz, Michael
    Chisholm, Glenn
    Wallace, Brian
    Wolff, Matt
    Zhao, Xuan
    Luan, Jay
    EXPERT SYSTEMS WITH APPLICATIONS, 2017, 71 : 301 - 318
  • [47] Parallel and distributed computational multivariate time series modeling in the state space
    Bottura, CP
    Barreto, G
    Bordon, MJ
    Tamariz, AD
    PROCEEDINGS OF THE 2002 AMERICAN CONTROL CONFERENCE, VOLS 1-6, 2002, 1-6 : 1466 - 1471
  • [48] NON-STATIONARY MARKOV AND SPACE-TIME PROCESSES
    MAYER, C
    ANNALES DE L INSTITUT HENRI POINCARE SECTION B-CALCUL DES PROBABILITES ET STATISTIQUE, 1968, 4 (03): : 165 - &
  • [49] Diagonal time dependent state space models for modal decomposition of non-stationary signals
    Enrique Avendano, Luis
    Avendano-Valencia, Luis David
    Delgado-Trejos, Edilson
    SIGNAL PROCESSING, 2018, 147 : 208 - 223
  • [50] Time-varying modeling of a non-stationary signal
    Al-Shoshan, AI
    10TH INTERNATIONAL CONFERENCE ON COMPUTER APPLICATIONS IN INDUSTRY AND ENGINEERING, 1997, : 179 - 182
12345