A Note of Wavelet Variance

DOI10.1080/03610920701669819zbMath1151.65013OpenAlexW2072576880MaRDI QIDQ5457995

Xunming du

Publication date: 10 April 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920701669819

zbMATH Keywords

waveletstime seriesvarianceautocovariance functionstationary processspectral densitylong memory processfractional model ARIMA(0,\(\delta\),0)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for wavelets (65T60) Analysis of variance and covariance (ANOVA) (62J10)

Uses Software

• longmemo

Cites Work

• Fractional differencing
• Basic wavelet theory
• Introduction to Time Series and Forecasting
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