[R] any implementations for adaptive modeling of time series?

From: Peter Nimda <p.nimda_at_gmail.com>
Date: Tue 30 Jan 2007 - 13:09:31 GMT


Hallo,

my noisy time series represent a fading signal comprising of long enough parts with a simple trend inside of each such a part. Transition from one part into another is always a non-smooth and very sharp/acute. In other words I have a piecewise polynomial noisy curve asymptotically converging to the biased constant, points between pieces are non-differentiable.

I am looking for implementations of models adequate for such a data. Are there any possibilities to adapt the ARIMA or MCMC? Many thanks in advance for any help/URLs



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