A Note of Wavelet Variance

DOI10.1080/03610920701669819MaRDI QIDQ5457995zbMATH OpenOpenAlexFDO

Authors Xunming du

Publication date 10 April 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920701669819

zbMATH Keywords

autocovariance functionfractional model ARIMA(0,\(\delta\),0)long memory processspectral densitystationary processtime seriesvariancewavelets

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Analysis of variance and covariance (ANOVA) (62J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for wavelets (65T60)

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Cites work

• Basic wavelet theory
• Fractional differencing
• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Introduction to Time Series and Forecasting
• The mathematical theory of wavelets

Cited in

(4)

• On estimation of the wavelet variance
• The variance profile
• Weak-stationarity conditions for wavelet processes
• Jensen-autocorrelation function for weakly stationary processes and applications

Describes a project that uses

Uses Software

• longmemo

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