Local Covariance Estimation Using Costationarity

DOI10.1007/978-1-4939-0569-0_6MaRDI QIDQ2787357zbMATH OpenOpenAlexFDO

Authors Alessandro Cardinali

Publication date 25 February 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10026.1/13473

zbMATH Keywords

waveletslocal stationaritycostationaritytime-varying covariances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 4178247
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• Extended rank analysis of covariance adjusting for local correlations
• Covariance estimation under spatial dependence

Cites work

• scientific article; zbMATH DE number 515884 (Why is no real title available?)
• scientific article; zbMATH DE number 194951 (Why is no real title available?)
• Costationarity of locally stationary time series
• Estimating linear dependence between nonstationary time series using the locally stationary wavelet model
• Evolutionary Coherence of Nonstationary Signals
• Fitting time series models to nonstationary processes
• Wavelet methods in statistics with R
• Wavelets in time-series analysis

Cited in

(9)

• Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
• Costationarity of locally stationary time series
• Optimal covariance estimation of discrete-time locally self-similar processes in time-scale and ambiguity domains
• Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
• A semiparametric covariance estimator immune to arbitrary signal drift
• The local approximation of variograms in \(\mathcal R^2\) by covariance functions
• Nonparametric estimation of time varying correlation coefficient
• The local partial autocorrelation function and some applications
• Real-time covariance estimation for the local level model

Describes a project that uses

Uses Software

• wavethresh
• WaveThresh4

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