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Koopman-theoretic Approach for Identification of Exogenous Anomalies in Nonstationary Time-series Data.
Alex Mallen
Christoph A. Keller
J. Nathan Kutz
Published in:
CoRR (2022)
Keyphrases
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non stationary
autoregressive
anomaly detection
financial time series
adaptive algorithms
random fields
concept drift
blind source separation
stock price
multivariate time series
rare events
fractional brownian motion
bayesian networks
pairwise
steady state
discrete valued