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Nonlinear time-series analysis revisited [PDF]
Chaos: An Interdisciplinary Journal of Nonlinear Science, 2015 In 1980 and 1981, two pioneering papers laid the foundation for what became known as nonlinear time-series analysis: the analysis of observed data—typically univariate—via dynamical systems theory. Based on the concept of state-space reconstruction, this set of methods allows us to compute characteristic quantities such as Lyapunov exponents and ...
Elizabeth Bradley, Holger Kantz
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Volatility of linear and nonlinear time series [PDF]
Physical Review E, 2005 Previous studies indicate that nonlinear properties of Gaussian time series with long-range correlations, $u_i$, can be detected and quantified by studying the correlations in the magnitude series $|u_i|$, i.e., the ``volatility''. However, the origin for this empirical observation still remains unclear, and the exact relation between the correlations ...
Tomer Kalisky +2 more
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Prikaz knjige „Nonlinear time series analysis“
Ekonomski Vjesnik, 2019 Knjiga Nonlinear time series analysis pripada u skupinu literature koja se bavi uvodom u nelinearne modele. Sastoji se od ukupno 8 poglavlja, s mnoštvom primjera provedenih u programskoj podršci R, pri čemu autori na određenim mjestima u knjizi daju i popis naredbi potrebnih da bi određeni primjer čitatelj sam proveo u R, jer su podaci korišteni u ...
Tihana Škrinjarić
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Cyclic Nonlinear Correlation Analysis for Time Series
IEEE Access, 2022 Principal component analysis (PCA) and kernel PCA allow the decorrelation of data with respect to a basis that is found via variance maximization. However, these techniques are based on pointwise correlations.
Christopher M. A. Bonenberger +3 more
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Coupling between Blood Pressure and Subarachnoid Space Width Oscillations during Slow Breathing
Entropy, 2021 The precise mechanisms connecting the cardiovascular system and the cerebrospinal fluid (CSF) are not well understood in detail. This paper investigates the couplings between the cardiac and respiratory components, as extracted from blood pressure (BP ...
Agnieszka Gruszecka +11 more
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Nonlinear Analysis of Financial Time Series [PDF]
Ovidius University Annals: Economic Sciences Series, 2022 One of the axioms of the modern science states that, if one can identify an exact mathematical description of a physical system, then a very detailed understanding of the system’s properties is possible.
Sorin Vlad, Mariana Vlad
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Wavelet analysis for non-stationary, nonlinear time series [PDF]
Nonlinear Processes in Geophysics, 2016 Methods for detecting and quantifying nonlinearities in nonstationary time series are introduced and developed. In particular, higher-order wavelet analysis was applied to an ideal time series and the quasi-biennial oscillation (QBO) time series ...
J. A. Schulte
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Mathematics, 2023 Testing for complex serial dependence in economic and financial time series is a crucial task that bears many practical implications. However, the linear paradigm remains pervasive among practitioners as the autocorrelation function, because, despite its
Simone Giannerini, Greta Goracci
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Forecasting With Nonlinear Time Series Models [PDF]
SSRN Electronic Journal, 2010 AbstractThis article considers nonlinear forecasting models, such as switching-regime models. These models are typically “small” compared to vector autoregressive and factor models, being either univariate or single-equation models, but tend to nest a linear relationship and so invite an assessment of whether allowing for nonlinearity improves forecast
Kock, Anders Bredahl, Teräsvirta, Timo
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Nonlinear Time Series Models [PDF]
, 2007 Assume that for \(t \in \mathbb{Z}\), (Z t ) and \((Z_{t}^{{\ast}})\) are respectively uncorrelated and independent sequences of r.v’s having identical marginal distribution F(⋅ ), with zero mean and variance \(\sigma _{Z}^{2}
Kamil Feridun Turkman +2 more
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