Wavelet packet transfer function modelling of nonstationary time series

DOI10.1023/A:1013168221710zbMath1247.62228OpenAlexW2121691307MaRDI QIDQ451233

Guy P. Nason, Theofanis Sapatinas

Publication date: 23 September 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1013168221710

zbMATH Keywords

nondecimated wavelet packetsnonstationary transfer functionWaveThreshwind time series

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Applications of statistics in engineering and industry; control charts (62P30) Numerical methods for wavelets (65T60)

Related Items (10)

Classification of multiple time signals using localized frequency characteristics applied to industrial process monitoring ⋮ A WAVELET TRANSFER MODEL FOR TIME SERIES FORECASTING ⋮ Transfer function models with time-varying coefficients ⋮ Spectral correction for locally stationary Shannon wavelet processes ⋮ Transfer function modelling in software reliability ⋮ Locally adaptive estimation of evolutionary wavelet spectra ⋮ Wavelet Regression Technique for Streamflow Prediction ⋮ Practical powerful wavelet packet tests for second-order stationarity ⋮ Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting ⋮ A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES

Uses Software

• S-PLUS
• wavethresh

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