Nonparametric segmentation of nonstationary time series

Abstract

The nonstationary evolution of observable quantities in complex systems can frequently be described as a juxtaposition of quasistationary spells. Given that standard theoretical and data analysis approaches usually rely on the assumption of stationarity, it is important to detect in real time series intervals holding that property. With that aim, we introduce a segmentation algorithm based on a fully nonparametric approach. We illustrate its applicability through the analysis of real time series presenting diverse degrees of nonstationarity, thus showing that this segmentation procedure generalizes and allows one to uncover features unresolved by previous proposals based on the discrepancy of low order statistical moments only.

Locations

• Physical Review E - View
• arXiv (Cornell University) - View - PDF
• PubMed - View
• DataCite API - View