Modelling time-varying first and second-order structure of time series via wavelets and differencing

DOI10.1214/22-EJS2044OpenAlexW3194441895MaRDI QIDQ2168089

Matthew A. Nunes, Euan T. McGonigle, Rebecca Killick

Publication date: 31 August 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.07550

zbMATH Keywords

trend estimationwavelet thresholdingwavelet spectrumdifferencinglocally stationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Uses Software

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• WaveThresh4
• wavethresh
• changepoint
• astsa
• haarfisz
• locits

Cites Work

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• Wavelets
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• Optimal Detection of Changepoints With a Linear Computational Cost
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• Trend locally stationary wavelet processes

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