Spectral estimation for locally stationary time series with missing observations

DOI10.1007/s11222-011-9256-xzbMath1252.60034OpenAlexW1996387237MaRDI QIDQ693321

Guy P. Nason, Marina I. Knight, Matthew A. Nunes

Publication date: 7 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-011-9256-x

zbMATH Keywords

spectral estimationmissing data\texttt{R}wavelet lifting\texttt{R package Adlift}\texttt{Wavethresh}nondecimated transform

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)

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Uses Software

• R
• WaveThresh4
• wavethresh
• Adlift
• nlt
• haarfisz
• wmtsa

Cites Work

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