Trend locally stationary wavelet processes
From MaRDI portal
Publication:6134636
DOI10.1111/jtsa.12643OpenAlexW4210938388MaRDI QIDQ6134636
Rebecca Killick, Euan T. McGonigle, Matthew A. Nunes
Publication date: 22 August 2023
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://research-information.bris.ac.uk/en/publications/48da7c7e-b9c8-4794-9de8-71201ca2e46d
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes (62Mxx)
Related Items
Modelling time-varying first and second-order structure of time series via wavelets and differencing ⋮ Robust multiscale estimation of time-average variance for time series segmentation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting
- Analysis of detrended time-lagged cross-correlation between two nonstationary time series
- Locally adaptive estimation of evolutionary wavelet spectra
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
- A likelihood approximation for locally stationary processes
- Locally adaptive fitting of semiparametric models to nonstationary time series.
- Forecasting non-stationary time series by wavelet process modelling
- A wavelet-based approach for detecting changes in second order structure within nonstationary time series
- Asymptotic theory for time series with changing mean and variance
- Wavelet spectral testing: application to nonstationary circadian rhythms
- Non-parametric Curve Estimation by Wavelet Thresholding with Locally Stationary Errors
- Positive definite estimators of large covariance matrices
- Adapting to Unknown Smoothness via Wavelet Shrinkage
- Testing parametric assumptions of trends of a nonstationary time series
- Haar–Fisz Estimation of Evolutionary Wavelet Spectra
- Estimating linear dependence between nonstationary time series using the locally stationary wavelet model
- Estimating Time-Evolving Partial Coherence Between Signals via Multivariate Locally Stationary Wavelet Processes
- A Test for Second-Order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series
- Clustering Nonstationary Circadian Rhythms using Locally Stationary Wavelet Representations
- A Note on the Effect of Wavelet Choice on the Estimation of the Evolutionary Wavelet Spectrum
- Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes