We propose a new method for estimating common factors of multiple time series. One distinctive feature of the new approach is that it is applicable to some nonstationary time series. The unobservable, nonstationary factors are identified by expanding the white noise space step by step, thereby...

This paper presents an algorithm for synchronizing two different chaotic systems by using a combination of Unscented Kalman–Bucy Filter (UKBF) and sliding mode controller. It is assumed that the drive chaotic system is perturbed by white noise and shows stochastic chaotic behavior. In addition...

In this paper, the leader-following consensus problem of noise perturbed multi-agent systems with time-varying delays is investigated. We analyze two different cases of coupling topologies: fixed topology and switching topology. Based on the Lyapunov functional and combining with the linear...

We introduce a weighted-moving-average analysis for the tick-by-tick data of yen–dollar exchange rates. The weights are determined automatically for given data by applying the Yule–Walker formula for autoregressive model. Although the data are non-stationary, the resulting moving average...

A Galerkin finite element approximation of Wick-stochastic water waves is developed and numerically investigated. The problems under study consist of a class of shallow water equations driven by white noise. Random effects may appear in the water free surface or in the bottom topography among...

Ecologists have observed that environmental noise affects population variance in the logistic equation for one-species growth. Interactions between deterministic and stochastic dynamics in a one-dimensional system result in increased variance in species population density over time. Since...

We have analyzed spontaneous discharge dynamics of fusimotor neurons, by applying the so-called detrended fluctuation analysis, which is a modification of the random walk model analysis. Besides, we applied the wavelet analysis method to the same problem. By using these methods we have found...

We study the interspike intervals (ISI) time series of the spontaneous fusimotor neuron activity by applying the wavelet transform analysis and confirm the existence of the white noise characteristics of the ISI time series. This means that the neuron activity may serve as the requisite noisy...

We study the interspike intervals (ISI) time series of the spontaneous fusimotor neuron activity by applying the detrended fluctuation analysis that is a modification of the random walk model analysis. Thus, we have found evidence for the white noise characteristics of the ISI time series, which...

This paper deals with the factor modeling for high-dimensional time series based on a dimension-reduction viewpoint. Under stationary settings, the inference is simple in the sense that both the number of factors and the factor loadings are estimated in terms of an eigenanalysis for a...