Locally adaptive estimation of evolutionary wavelet spectra

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

Sébastien Van Bellegem, Rainer von Sachs

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

regularization; quadratic form; local stationarity; change-point; nonstationary time series; autocorrelation wavelet; pointwise adaptive estimation; wavelet spectrum

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

62G05: Nonparametric estimation

62M15: Inference from stochastic processes and spectral analysis

Related Items

Practical powerful wavelet packet tests for second-order stationarity, Discriminating between long-range dependence and non-stationarity, Spectral estimation for locally stationary time series with missing observations, Simultaneous multiple change-point and factor analysis for high-dimensional time series, A test for stationarity based on empirical processes, A note on state space representations of locally stationary wavelet time series, A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation, Testing Semiparametric Hypotheses in Locally Stationary Processes, Frequency Domain Tests of Semiparametric Hypotheses for Locally Stationary Processes, Thick Pen Transformation for Time Series, Haar–Fisz Estimation of Evolutionary Wavelet Spectra

Uses Software

• haarfisz

Cites Work

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