Estimation of nonlinear autoregressive models using design-adapted wavelets

DOI10.1007/BF02507024MaRDI QIDQ816372zbMATH OpenOpenAlexFDO

Authors Véronique Delouille, Rainer von Sachs

Publication date 10 March 2006

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02507024

zbMATH Keywords

\(\beta\)-mixing conditions\(l_2\)-risk of wavelet coefficientsARCH modelsautoregressive designbiorthogonal wavelet transform

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(9)

• Nonlinear wavelet estimation of time-varying autoregressive processes
• Autoregressive functions estimation in nonlinear bifurcating autoregressive models
• Estimation of the autoregressive operator by wavelet packets
• Asymptotic properties of wavelet-based estimator in nonparametric regression model with weakly dependent processes
• Two-dimensional wavelets for nonlinear autoregressive models with an application in dynamical system
• Wavelet change-point estimation for long memory non-parametric random design models
• scientific article; zbMATH DE number 5360798 (Why is no real title available?)
• Regression with autocorrelated errors using design-adapted Haar wavelets
• Estimation of nonlinear autoregressive models using design-adapted wavelets

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