Robust Two-Step Wavelet-Based Inference for Time Series Models

DOI10.1080/01621459.2021.1895176zbMath1515.62083arXiv2001.04214OpenAlexW3133733035MaRDI QIDQ6110716

Stéphane Guerrier, Roberto Carlo Molinari, Hao-Tian Xu, Maria-Pia Victoria-Feser

Publication date: 6 July 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.04214

zbMATH Keywords

signal processingstate-space modelswavelet variancegeneralized method of wavelet momentslarge-scale time seriesscale-based analysis of variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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