/TVLAP-KF

Online supplementary materials of the paper titled "A Model for Non-Stationary Time Series and Its Applications in Filtering and Anomaly Detection"

Primary LanguageMATLAB

@Author: WANG Shixiong (Email: s.wang@u.nus.edu; wsx.gugo@gmail.com)

@Affiliate: Department of Industrial Systems Engineering and Management, National University of Singapore

@Uploaded on: July 6, 2020; Updated on: Jan 12, 2021

MATLAB Version: 2016A or later

TVLAP-KF: Time-Variant Local Autocorrelated Polynomial model with Kalman Filtering

Online supplementary materials of the paper titled

A Model for Non-Stationary Time Series and Its Applications in Filtering and Anomaly Detection

Published in the IEEE Transactions on Instrumentation and Measurement (DOI: 10.1109/TIM.2021.3059321)

By Shixiong Wang, Chongshou Li, and Andrew Lim

From the Department of Industrial Systems Engineering and Management, National University of Singapore.

See Also

Please refer to another application-oriented paper for more details and practical issues of using TVLAP-KF in practice:

https://github.com/Spratm-Asleaf/Range-Correction

Inventory

The file "RangeCorrection.m" is used to generate the Fighre 4 and Figure 5 in the paper.

The file "Shortcomings.m" is used to generate the Figure 9, Figure 10, and Figure 11 in the paper.

The file "KFPolynomial.m" implements the TVLAP-KF method in the paper.