摘要
Non-stationary time series could be divided into piecewise stationary stochastic signal. However, the number and locations of breakpoints, as well as the approximation function of the respective segment signal are unknown. To solve this problem, a novel on-line structural breaks estimation algorithm based on piecewise autoregressive processes is proposed. In order to find the "best" combination of the number, lengths, and orders of the piecewise autoregressive (AR) processes, the Akaikes Information Criterion (AIC) and Yule-Walker equations are applied to estimate an AR model fit to the data. Numerical results demonstrate that the proposed estimation algorithm is suitable for different data series. Furthermore, the algorithm is used in a clinical study of electroencephalogram (EEG) with satisfactory results, and the ability to deal with real-time data is the most outstanding characteristic of on-line structural breaks estimation algorithm proposed.
Non-stationary time series could be divided into piecewise stationary stochastic signal. However, the number and locations of breakpoints, as well as the approximation function of the respective segment signal are unknown. To solve this problem, a novel on-line structural breaks estimation algorithm based on piecewise autoregres-sive processes is proposed. In order to find the 'best' combination of the number, lengths, and orders of the piecewise autoregressive (AR) processes, the Akaike's Information Criterion (AIC) and Yule-Walker equations are applied to estimate an AR model fit to the data. Numerical results demonstrate that the proposed estimation algorithm is suitable for different data series. Furthermore, the algorithm is used in a clinical study of e-lectroencephalogram (EEG) with satisfactory results, and the ability to deal with real-time data is the most outstanding characteristic of on-line structural breaks estimation algorithm proposed.
基金
supported by Fund of National Science & Technology monumental projects under Grants No. 2012ZX03005012, 2011ZX03005-004-03, 2009ZX03003-007
