Adaptive covariance estimation of locally stationary processes

DOI10.1214/aos/1030563977zbMath0949.62082OpenAlexW1983461984MaRDI QIDQ1807064

Zhifeng Zhang, Stephane Mallat, George S. Papanicolaou

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1030563977

zbMATH Keywords

locally stationary processes adaptive covariance estimation local cosine bases approximate Karhunen-Loeve basis time-varying spetrum

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12)

Related Items

A possible definition of a stationary tangent., Forecasting non-stationary time series by wavelet process modelling, Local linear quantile estimation for nonstationary time series, On a time deformation reducing nonstationary stochastic processes to local stationarity, Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes, Clustering High-Dimensional Time Series Based on Parallelism, Testing temporal constancy of the spectral structure of a time series, A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series, ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES, MEAN-REVERTING STOCHASTIC VOLATILITY, Statistical analysis of financial time series under the assumption of local stationarity, BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS, Adaptive wavelet decompositions of stationary time series, Identifying shifts between two regression curves, Semiparametric model building for regression models with time-varying parameters, Fast rate of convergence in high-dimensional linear discriminant analysis, Adapted bases of time-frequency local cosines., Thresholding algorithms, maxisets and well-concentrated bases, Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting, Non-stationary structural model with time-varying demand elasticities, Estimation of the autoregressive operator by wavelet packets, Dimensionality reduction and greedy learning of convoluted stochastic dynamics, Time-frequency transfer function calculus (symbolic calculus) of linear time-varying systems (linear operators) based on a generalized underspread theory, Multiscale spectral analysis for detecting short and long range change points in time series, Locally stationary harmonizable complex improper stochastic processes, Cross validation for locally stationary processes, Forecasting using locally stationary wavelet processes, Haar–Fisz Estimation of Evolutionary Wavelet Spectra, Wavelet analysis and covariance structure of some classes of non-stationary processes, On Wiener filtering of certain locally stationary stochastic processes, Data-adaptive wavelets and multi-scale singular-spectrum analysis, A likelihood approximation for locally stationary processes, Spectral analysis for harmonizable processes, Multiresolution models for nonstationary spatial covariance functions, Certain Periodically Correlated Multicomponent Locally Stationary Processes, Two signal processing problems involving coherent states methods, Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors, STATIONARY TANGENT: THE DISCRETE AND NON-SMOOTH CASE, Some inequalities for covariance with applications in statistics

Cites Work