ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS

DOI10.1142/S0219691304000603zbMath1071.62083MaRDI QIDQ5697085

Sébastien Van Bellegem, Rainer von Sachs

Publication date: 17 October 2005

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

zbMATH Keywords

local stationaritychange-pointautocorrelation waveletpointwise adaptive estimationwavelet spectrumtest of stationaritywavelet periodogram

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for wavelets (65T60)

Related Items (5)

Semiparametric Estimation by Model Selection for Locally Stationary Processes ⋮ Case study: shipping trend estimation and prediction via multiscale variance stabilisation ⋮ Locally adaptive estimation of evolutionary wavelet spectra ⋮ Practical powerful wavelet packet tests for second-order stationarity ⋮ A Scale‐space Approach for Detecting Non‐stationarities in Time Series

Cites Work

• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Forecasting non-stationary time series by wavelet process modelling
• Weak stationarity of a time series with wavelet representation
• A Wavelet-Based Test for Stationarity
• CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY
• On a Problem of Adaptive Estimation in Gaussian White Noise
• Wavelets in time-series analysis

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