Discrimination and classification of nonstationary time series using the SLEX model

Journal of the American Statistical Association

Volumn 99, Issue 467, 2004, Pages 763-774

  Huang, Hsiao Yun ^a   Ombao, Hernando ^b   Stoffer, David S ^c  

^a FU JEN CATHOLIC UNIVERSITY   (Taiwan)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^c UNIVERSITY OF PITTSBURGH   (United States)

Author keywords

Kullback Leibler divergence; Likelihood ratio; Nonstationary random process; Seismic time series; SLEX library

Indexed keywords

EID: 4944222924     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214504000001105     Document Type: Article

References (14)

1. Blandford, R. R. (1993), "Discrimination of Earthquakes and Explosions," Report AFTAC-TR-93-044 HQ, Air Force Technical Applications Center, Patrick Air Force Base, FL.
2. Coifman, R., and Wickerhauser, M. (1992), "Entropy Based Algorithms for Best Basis Selection," IEEE Transactions on Information Theory, 32, 712-718.
3. Dahlnaus, R. (1997), "Fitting Time Series Models to Nonstationary Processes," The Annals of Statistics, 25, 1-37.
4. Kakizawa, Y., Shumway, R. H., and Taniguchi, M. (1998), "Discrimination and Clustering for Multivariate Time Series," Journal of the American Statistical Association, 93, 328-340.
5. Ombao, H., Raz, J., von Sachs, R., and Guo, W. (2002), "The SLEX Model of Nonstationary Processes," Annals of the Institute of Statistical Mathematics, 32, 201-225.
6. Ombao, H., Raz, J., von Sachs, R., and Malow, B. (2001), "Automatic Statistical Analysis of Bivariate Nonstationary Time Series," Journal of the American Statistical Association, 96, 543-560.
7. Priestley, M. (1965), "Evolutionary Spectra and Nonstationary Processes," Journal of the Royal Statistical Society, Ser. B, 28, 228-240.
8. Pulli, J. J. (1996), "Extracting and Processing Signal Parameters for Regional Seismic Event Identification," in Monitoring a Comprehensive Test Ban Treaty, eds. E. S. Husebye and A. M. Dainty, Dordrecht: Kluwer, pp. 791-803.
9. Saito, N. (1994), "Local Feature Extraction and Its Applications," Ph.D. dissertation, Yale University, Dept. of Mathematics.
10. Sakiyama, K., and Taniguchi, M. (2003), "Discrimination for Locally Stationary Random Processes," Journal of Multivariate Analysis, in press.
11. Shumway, R. H. (1982), "Discriminant Analysis for Time Series," in Classification, Pattern Recognition and Reduction of Dimensionality, Handbook of Statistics, Vol. 2, eds. P. R. Krishnaiah and L. N. Kanal, Amsterdam: North-Holland, pp. 1-46.
12. _ (2003), "Time-Frequency Clustering and Discriminant Analysis," Statistics and Probability Letters, 63, 307-314.
13. Shumway, R. H., and Stoffer, D. S. (2000), Time Series Analysis and Its Applications, New York: Springer-Verlag.
14. Wickerhauser, M. (1994), Adapted Wavelet Analysis From Theory to Software, New York: IEEE Press.