Segmentation Based Testing of Co-movement Significance

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F18%3APU129588" target="_blank" >RIV/00216305:26220/18:PU129588 - isvavai.cz</a>
Result on the web
<a href="https://ieeexplore.ieee.org/xpl/mostRecentIssue.jsp?punumber=8422048" target="_blank" >https://ieeexplore.ieee.org/xpl/mostRecentIssue.jsp?punumber=8422048</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/IWSSIP.2018.8439304" target="_blank" >10.1109/IWSSIP.2018.8439304</a>

Result language
angličtina
Original language name
Segmentation Based Testing of Co-movement Significance
Original language description
The paper is focused on the significance testing of the time-frequency co-movement measure on the segmentation bases. Investigating the test of the power wavelet cross-spectrum we have some standard assumptions: i.e two independent Gaussian white noise inputs. Then, with the use of the Bessel function, we can test whether the values of power wavelet cross-spectrum are significant with respect to the variance of each input time series. Our paper investigate the case when an input data have heteroscedastic character. Thus we propose firstly segmentation of the data sample according to the variances of input time series. Secondly, we propose an identification significant power wavelet cross-spectrum values in each segment via Ge test. The results with and without segmentation are compared. Our experiment is performed on simulated and real data. The results shows, that segmentation based testing for the heteroscedastic data provides more precise results.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 25th International Conference on Systems, Signals and Image Processing
ISBN
978-1-5386-6979-2
ISSN
—
e-ISSN
—
Number of pages
5
Pages from-to
1-5
Publisher name
Neuveden
Place of publication
Maribor
Event location
Maribor
Event date
Jun 20, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000451277200015

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