Long memory and changepoint models: a spectral classification procedure
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Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- A Test for Second-Order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series
- A wavelet-based approach for detecting changes in second order structure within nonstationary time series
- An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
- Consistent classification of nonstationary time series using stochastic wavelet representations
- Fractional integration versus level shifts: the case of realized asset correlations
- Haar–Fisz Estimation of Evolutionary Wavelet Spectra
- scientific article; zbMATH DE number 784362 (Why is no real title available?)
- scientific article; zbMATH DE number 3290822 (Why is no real title available?)
- Likelihood inference for discriminating between long-memory and change-point models
- Long memory and regime switching
- Multiscale and multilevel technique for consistent segmentation of nonstationary time series
- On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
- Optimal detection of changepoints with a linear computational cost
- Ten Lectures on Wavelets
- Varieties of long memory models
- Wavelet methods in statistics with R
Cited in
(3)- Autocovariance estimation in the presence of changepoints
- Considering long-memory when testing for changepoints in surface temperature: a classification approach based on the time-varying spectrum
- Long-term trends of US county-level extreme ozone concentrations with long memory and changepoint considerations
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