Locally adaptive estimation of evolutionary wavelet spectra

DOI10.1214/07-AOS524zbMath1142.62067arXiv0808.1452MaRDI QIDQ939667

Rainer von Sachs, Sébastien Van Bellegem

Publication date: 28 August 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.1452

zbMATH Keywords

regularizationquadratic formlocal stationaritychange-pointnonstationary time seriesautocorrelation waveletpointwise adaptive estimationwavelet spectrum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (21)

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Uses Software

• haarfisz

Cites Work

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