Time-domain estimation of time-varying linear systems

DOI10.1080/10485250500038728zbMath1061.62125OpenAlexW2030602672MaRDI QIDQ4675905

Chang Chiann, Pedro Alberto Morettin

Publication date: 6 May 2005

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

Full work available at URL: https://doi.org/10.1080/10485250500038728

zbMATH Keywords

waveletstime-varying systemslocally stationary processeskernels estimator

Mathematics Subject Classification ID

Density estimation (62G07) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Non-Markovian processes: estimation (62M09) Numerical methods for wavelets (65T60)

Related Items (6)

Wavelet estimation for factor models with time-varying loadings ⋮ Transfer function models with time-varying coefficients ⋮ A wavelet-based time-varying autoregressive model for non-stationary and irregular time series ⋮ A test for comparing two discrete stochastic dynamical systems under heteroskedasticity ⋮ Transfer functions in dynamic generalized linear models ⋮ Wavelet based time-varying vector autoregressive modelling

Cites Work

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• Distributed lag approximation to linear time-invariant systems
• Wavelets on the interval and fast wavelet transforms
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• Local polynomial estimators of the volatility function in nonparametric autoregression
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Ten Lectures on Wavelets
• Efficient estimation of conditional variance functions in stochastic regression
• Estimation of time varying linear systems

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