Time Series Analysis based on Time-Varying Peak Frequencies of Power Spectrum and Application to Seismic Wave Data
Norikazu Ikoma · Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications · 1996
A new model based on time-varying peak frequencies of power spectrum (TVPP model) has been proposed. The model contains peak frequencies of power spectrum as time-varying parameters and time invariant factor of power spectrum. Nonlinear nonstationary state space modeling proposed by G.Kitagawa is used to estimate time-varying peaks, and quasi-Newton method with BFGS modification formula is used to estimate time invariant parameters. Application result to seismic wave data has been reported. Comparison to time-varying coefficient AR model (TVAR mode) has also been reported.