Nonlinear wavelet estimation of time-varying autoregressive processes
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Cited in
(40)- Wavelet based time-varying vector autoregressive modelling
- Locally adaptive fitting of semiparametric models to nonstationary time series.
- Forecasting non-stationary time series by wavelet process modelling
- On nonparametric estimation in nonlinear AR(1)-models
- Wavelet-M-estimation for time-varying coefficient time series models
- Varying coefficient functional autoregressive model with application to the U.S. treasuries
- Time series modeling on dynamic networks
- Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
- A test for stationarity based on empirical processes
- Outliers in functional autoregressive time series
- Estimation of the autoregressive operator by wavelet packets
- Wavelet estimation of thresholds and time delay for a double-threshold autoregressive heteroscedastic time series model
- Local linear smoothing for sparse high dimensional varying coefficient models
- Testing semiparametric hypotheses in locally stationary processes
- Two-dimensional wavelets for nonlinear autoregressive models with an application in dynamical system
- A similarity-based approach to time-varying coefficient non-stationary autoregression
- Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
- Frequency domain tests of semiparametric hypotheses for locally stationary process
- Transfer function models with time-varying coefficients
- Mode Identification of Volatility in Time-Varying Autoregression
- Time-domain estimation of time-varying linear systems
- Semiparametric model building for regression models with time-varying parameters
- Prediction of weakly locally stationary processes by auto-regression
- Simultaneous variable selection and structural identification for time‐varying coefficient models
- A wavelet-based time-varying autoregressive model for non-stationary and irregular time series
- Norming rates and limit theory for some time-varying coefficient autoregressions
- FORECASTING TIME SERIES USING WAVELETS
- COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES
- Uniform convergence rates of kernel estimators with heterogeneous dependent data
- State space Markov switching models using wavelets
- Local spectral analysis using wavelet packets
- A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series
- Time-varying spatio-temporal models by wavelets
- Bayesian analysis for varying coefficient autoregressive models
- A test for comparing two discrete stochastic dynamical systems under heteroskedasticity
- Inference in a stationary/nonstationary autoregressive time-varying-parameter model
- Inference of time-varying regression models
- Nonparametric regression for locally stationary time series
- Estimation of nonlinear autoregressive models using design-adapted wavelets
- Wavelet estimation by Bayesian thresholding and model selection
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