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Arbitrary-order Hilbert spectral analysis for time series possessing scaling statistics: a comparison study with detrended fluctuation analysis and wavelet leaders
Arbitrary-order Hilbert spectral analysis time series wavelet leaders
2011/8/5
Abstract: In this paper we present an extended version of Hilbert-Huang transform, namely arbitrary-order Hilbert spectral analysis, to characterize the scale-invariant properties of a time series dir...
Nonparametric model reconstruction for stochastic differential equation from discretely observed time-series data
Nonparametric model reconstruction stochastic differential equation discretely observed time-series data
2011/8/2
Abstract: We develop a scheme for estimating state-dependent drift and diffusion coefficients in a stochastic differential equation from a time-series data. There is no need to have any prior knowledg...