Haar–Fisz Estimation of Evolutionary Wavelet Spectra

DOI10.1111/j.1467-9868.2006.00558.xzbMath1110.62121OpenAlexW2059163482MaRDI QIDQ3408551

Piotr Fryzlewicz, Guy P. Nason

Publication date: 14 November 2006

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2006.00558.x

zbMATH Keywords

heteroscedasticitywavelet spectrumthresholding estimatorswavelet periodogramlog-transform

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for wavelets (65T60)

Related Items (23)

Spectral Inference under Complex Temporal Dynamics ⋮ Wavelet testing for a replicate-effect within an ordered multiple-trial experiment ⋮ Modelling time-varying first and second-order structure of time series via wavelets and differencing ⋮ Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Trend locally stationary wavelet processes ⋮ Walsh Fourier Transform of Locally Stationary Time Series ⋮ Long memory and changepoint models: a spectral classification procedure ⋮ A wavelet-based approach for detecting changes in second order structure within nonstationary time series ⋮ Spectral correction for locally stationary Shannon wavelet processes ⋮ Case study: shipping trend estimation and prediction via multiscale variance stabilisation ⋮ Locally adaptive estimation of evolutionary wavelet spectra ⋮ A wavelet-Fisz approach to spectrum estimation ⋮ Clustering Nonstationary Circadian Rhythms using Locally Stationary Wavelet Representations ⋮ Some limit results on the Haar-Fisz transform for inhomogeneous Poisson signals ⋮ Spectral estimation for locally stationary time series with missing observations ⋮ Practical powerful wavelet packet tests for second-order stationarity ⋮ GOES-8 X-Ray Sensor Variance Stabilization Using the Multiscale Data-Driven Haar–Fisz Transform ⋮ Wavelet spectral testing: application to nonstationary circadian rhythms ⋮ The locally stationary dual-tree complex wavelet model ⋮ A note on state space representations of locally stationary wavelet time series ⋮ haarfisz ⋮ Multiscale spectral modelling for nonstationary time series within an ordered multiple-trial experiment ⋮ Inference for non-stationary time-series autoregression

Cites Work

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• Locally adaptive estimation of evolutionary wavelet spectra
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• On the Kullback-Leibler information divergence of locally stationary processes
• Spectrum estimation by wavelet thresholding of multitaper estimators
• Non-parametric Curve Estimation by Wavelet Thresholding with Locally Stationary Errors
• A theory for multiresolution signal decomposition: the wavelet representation
• Ten Lectures on Wavelets
• Choice of thresholds for wavelet shrinkage estimate of the spectrum

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