Time-localized wavelet multiple regression and correlation

DOI10.1016/J.PHYSA.2017.11.050OpenAlexW2768642440MaRDI QIDQ83116

Javier Fernández-Macho, Javier Fernández-Macho

Publication date: February 2018

Published in: Physica A: Statistical Mechanics and its Applications, Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.11.050

zbMATH Keywords

wavelet transformmultiscale analysismultivariate time seriesweighted least squaresnon-stationary time serieslocal regressionstock marketscomovement dynamicseuro zone

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

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Uses Software

• wmtsa

Cites Work

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• Ten Lectures on Wavelets
• Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA

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