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| Titel |
A propagation-separation approach to estimate the autocorrelation in a time-series |
| VerfasserIn |
D. V. Divine, J. Polzehl, F. Godtliebsen |
| Medientyp |
Artikel
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| Sprache |
Englisch
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| ISSN |
1023-5809
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| Digitales Dokument |
URL |
| Erschienen |
In: Nonlinear Processes in Geophysics ; 15, no. 4 ; Nr. 15, no. 4 (2008-07-23), S.591-599 |
| Datensatznummer |
250012711
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| Publikation (Nr.) |
 copernicus.org/npg-15-591-2008.pdf |
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| Zusammenfassung |
| The paper presents an approach to estimate parameters of a local
stationary
AR(1) time series model by maximization of a local likelihood function. The
method is based on a propagation-separation procedure that leads to data
dependent weights defining the local model. Using free propagation of weights
under homogeneity, the method is capable of separating the time series into
intervals of approximate local stationarity. Parameters in different regions
will be significantly different. Therefore the method also serves as a test
for a stationary AR(1) model. The performance of the method is illustrated by
applications to both synthetic data and real time-series of reconstructed NAO
and ENSO indices and GRIP stable isotopes. |
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