AutoNOM - Automatic Nonstationary Oscillatory Modelling

AutoNOM is a Julia software to model nonstationary periodic time series. This Bayesian method approximates the time series using a piecewise oscillatory model with unknown periodicities, to estimate the change-points while simultaneously identifying the potentially changing periodicities in the data. Inference is carried out through reversible-jump MCMC based algorithms as detailed in Hadj-Amar et al. (2020) "Bayesian Model Search for Nonstationary Periodic Time Series", published in JASA. The software is implemented in Julia 1.6.

Example

We provide a snapshot of illustrative_example.jl, which contains a tutorial for using our software in Julia

• Run RJMCMC sampler

  MCMC_simul = AutoNOM(data, hyperparms; s_start = [40])