Wavelet based time-varying vector autoregressive modelling

DOI10.1016/j.csda.2006.10.027zbMath1330.62346MaRDI QIDQ1020686

Paula R. Arantes, Edson jun. Amaro, João Ricardo Sato, Pedro Alberto Morettin

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.10.027

zbMATH Keywords

wavelets; autoregressive; multivariate; time-varying

Mathematics Subject Classification ID

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

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

Related Items

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Uses Software

• bvarsv
• wmtsa

Cites Work

• Fitting time series models to nonstationary processes
• A likelihood approximation for locally stationary processes
• Partial directed coherence: a new concept in neural structure determination
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Ten Lectures on Wavelets
• Miscellanea. Time series decomposition
• Nonlinear wavelet image processing: variational problems, compression, and noise removal through wavelet shrinkage
• Time-domain estimation of time-varying linear systems
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Wavelets and statistical analysis of functional magnetic resonance images of the human brain
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Estimation of time varying linear systems
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