Nonlinear wavelet estimation of time-varying autoregressive processes

DOI10.2307/3318448zbMath0954.62103OpenAlexW3125392599MaRDI QIDQ1962757

Rainer von Sachs, Michael H. Neumann, Rainer Dahlhaus

Publication date: 29 January 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/21429/1/report.09.pdf

zbMATH Keywords

non-stationary processestime-varying autoregressionwavelet estimatorsnonlinear thresholding

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (31)

State space Markov switching models using wavelets ⋮ Local linear smoothing for sparse high dimensional varying coefficient models ⋮ Locally adaptive fitting of semiparametric models to nonstationary time series. ⋮ Forecasting non-stationary time series by wavelet process modelling ⋮ Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes ⋮ A similarity-based approach to time-varying coefficient non-stationary autoregression ⋮ Simultaneous variable selection and structural identification for time‐varying coefficient models ⋮ A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series ⋮ Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity ⋮ Transfer function models with time-varying coefficients ⋮ A test for stationarity based on empirical processes ⋮ A wavelet-based time-varying autoregressive model for non-stationary and irregular time series ⋮ On nonparametric estimation in nonlinear AR(1)-models ⋮ COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES ⋮ Semiparametric model building for regression models with time-varying parameters ⋮ Mode Identification of Volatility in Time-Varying Autoregression ⋮ UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA ⋮ A test for comparing two discrete stochastic dynamical systems under heteroskedasticity ⋮ Inference of time-varying regression models ⋮ Outliers in functional autoregressive time series ⋮ NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS ⋮ Varying coefficient functional autoregressive model with application to the U.S. treasuries ⋮ Time-domain estimation of time-varying linear systems ⋮ Local spectral analysis using wavelet packets ⋮ Time series modeling on dynamic networks ⋮ Wavelet estimation by Bayesian thresholding and model selection ⋮ Frequency Domain Tests of Semiparametric Hypotheses for Locally Stationary Processes ⋮ Nonparametric regression for locally stationary time series ⋮ Wavelet based time-varying vector autoregressive modelling ⋮ FORECASTING TIME SERIES USING WAVELETS ⋮ Testing Semiparametric Hypotheses in Locally Stationary Processes

This page was built for publication: Nonlinear wavelet estimation of time-varying autoregressive processes