COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES

DOI10.1142/S0219691308002185MaRDI QIDQ5386721zbMATH OpenOpenAlexFDO

Authors Gladys E. Salcedo, Clélia M. C. Toloi, João Ricardo Sato, Pedro A. Morettin

Publication date 14 May 2008

Published in International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219691308002185

zbMATH Keywords

waveletssplinestime-varying AR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• A Nonparametric Test for the Parallelism of Two First-Order Autoregressive Processes
• A periodogram-based metric for time series classification
• A significance test for classifying arma models
• Clusters of time series
• Comparison of non-stationary time series in the frequency domain
• Discriminant analysis for locally stationary processes
• Discrimination and Classification of Nonstationary Time Series Using the SLEX Model
• Large-sample tests of homogeneity for time series models
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Nonparametric Comparison of Cumulative Periodograms
• On the Kullback-Leibler information divergence of locally stationary processes
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Ten Lectures on Wavelets
• Time-frequency clustering and discriminant analysis.
• USING WAVELETS TO COMPARE TIME SERIES PATTERNS
• Wavelets on the interval and fast wavelet transforms

Cited in

(5)

• A test for comparing two discrete stochastic dynamical systems under heteroskedasticity
• Comparing non-stationary and irregularly spaced time series
• Inference for time-varying signals using locally stationary processes
• SURE-based optimum-length s-G filter to reconstruct NDVI time series iteratively with outliers removal
• scientific article; zbMATH DE number 3898062 (Why is no real title available?)

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