Wavelet scale analysis of bivariate time series i: motivation and estimation

DOI10.1080/10485250008832840zbMath0960.62094OpenAlexW2021672129MaRDI QIDQ4526140

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Publication date: 20 May 2001

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

Full work available at URL: https://doi.org/10.1080/10485250008832840

zbMATH Keywords

simulationsscale analysisundecimated discrete wavelet transformcross-covariances

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 (3)

Wavelet-Variance-Based Estimation for Composite Stochastic Processes ⋮ Asymptotic normality of wavelet estimators of the memory parameter for linear processes ⋮ Wavelet-Based Methods for High-Frequency Lead-Lag Analysis

Cites Work

• Unnamed Item
• Spectral Analysis for Physical Applications
• Long-range Dependence: Revisiting Aggregation with Wavelets
• The phase–corrected undecimated discrete wavelet packet transform and its application to interpreting the timing of events
• A wavelet analysis for time series
• Some uses if cumulants in wavelet analysis
• On estimation of the wavelet variance

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