COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES

DOI10.1142/S0219691308002185zbMath1135.62074OpenAlexW2048263156MaRDI QIDQ5386721

Clélia M. C. Toloi, Gladys E. Salcedo, Pedro Alberto Morettin, João Ricardo Sato

Publication date: 14 May 2008

Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219691308002185

zbMATH Keywords

waveletssplinestime-varying AR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Stationary stochastic processes (60G10) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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