A wavelet-Fisz approach to spectrum estimation

DOI10.1111/J.1467-9892.2008.00586.XzbMath1199.62021OpenAlexW1743867312MaRDI QIDQ3552856

Piotr Fryzlewicz, Rainer von Sachs, Guy P. Nason

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/25186/1/A_wavelet-Fisz_approach_to_spectrum_estimation%28lsero%29.pdf

zbMATH Keywords

smoothingBesov spacesspectral density estimationperiodogramwavelet thresholding

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Nonlinear wavelet-based estimation to spectral density for stationary non-Gaussian linear processes ⋮ Data-driven wavelet-Fisz methodology for nonparametric function estimation ⋮ A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes

Uses Software

• ftnonpar
• haarfisz

Cites Work

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• Densities, spectral densities and modality.
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Haar–Fisz Estimation of Evolutionary Wavelet Spectra
• A Haar–Fisz technique for locally stationary volatility estimation
• Choice of thresholds for wavelet shrinkage estimate of the spectrum
• Ideal spatial adaptation by wavelet shrinkage
• SPECTRAL DENSITY ESTIMATION VIA NONLINEAR WAVELET METHODS FOR STATIONARY NON-GAUSSIAN TIME SERIES
• Posterior Probability Intervals for Wavelet Thresholding
• Multitaper power spectrum estimation and thresholding: wavelet packets versus wavelets
• Adaptive estimation of the spectrum of a stationary Gaussian sequence

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