Wavelet based time-varying vector autoregressive modelling

DOI10.1016/j.csda.2006.10.027zbMath1330.62346OpenAlexW2013945756MaRDI QIDQ1020686

Paula R. Arantes, Edson jun. Amaro, João Ricardo Sato, Pedro Alberto Morettin

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.10.027

zbMATH Keywords

waveletsautoregressivemultivariatetime-varying

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Related Items (10)

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Uses Software

• bvarsv
• wmtsa

Cites Work

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• Wavelets and statistical analysis of functional magnetic resonance images of the human brain
• Time Varying Structural Vector Autoregressions and Monetary Policy
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