We give an alternative and unified derivation of the general framework developed in the last few years for analyzing nonstationary time series. A different approach for handling the resulting variational problem numerically is introduced. We further expand the framework by employing adaptive finite element algorithms and ideas from information theory to solve the problem of finding the most adequate model based on a maximum-entropy ansatz, thereby reducing the number of underlying probabilistic assumptions. In addition, we formulate and prove the result establishing the link between the optimal parametrizations of the direct and the inverse problems and compare the introduced algorithm to standard approaches like Gaussian mixture models, hidden Markov models, artificial neural networks and local kernel methods. Furthermore, based on the introduced general framework, we show how to create new data analysis methods for specific practical applications. We demonstrate the application of the framework to data samples from toy models as well as to real-world problems such as biomolecular dynamics, DNA sequence analysis and financial applications.
Philipp Metzner. Lars Putzig. Illia Horenko. "Analysis of persistent nonstationary time series and applications." Commun. Appl. Math. Comput. Sci. 7 (2) 175 - 229, 2012. https://doi.org/10.2140/camcos.2012.7.175