ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS

DOI10.1142/S0219691304000603MaRDI QIDQ5697085zbMATH OpenFDO

Authors Sébastien Van Bellegem, Rainer von Sachs

Publication date 17 October 2005

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/S0219691304000603

zbMATH Keywords

local stationaritychange-pointautocorrelation waveletpointwise adaptive estimationwavelet spectrumtest of stationaritywavelet periodogram

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for wavelets (65T60) Stationary stochastic processes (60G10)

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Cites work

• A wavelet-based test for stationarity
• CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY
• Forecasting non-stationary time series by wavelet process modelling
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• On a Problem of Adaptive Estimation in Gaussian White Noise
• Wavelets in time-series analysis
• Weak stationarity of a time series with wavelet representation

Cited in

(17)

• A note on the effect of wavelet choice on the estimation of the evolutionary wavelet spectrum
• A wavelet-based approach for detecting changes in second order structure within nonstationary time series
• Estimation of the bispectrum for locally stationary processes
• Locally stationary wavelet packet processes: basis selection and model fitting
• Multivariate locally stationary 2D wavelet processes with application to colour texture analysis
• A Scale‐space Approach for Detecting Non‐stationarities in Time Series
• Spectral representation and estimation for locally stationary wavelet processes
• A wavelet-based test for stationarity
• Semiparametric Estimation by Model Selection for Locally Stationary Processes
• Case study: shipping trend estimation and prediction via multiscale variance stabilisation
• Gaussian stationary processes: Adaptive wavelet decompositions, discrete approximations, and their convergence
• Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
• Practical powerful wavelet packet tests for second-order stationarity
• On a localization property of wavelet coefficients for processes with stationary increments, and applications. I. Localization with respect to shift
• A test for the absence of aliasing or local white noise in locally stationary wavelet time series
• On adaptive covariance and spectrum estimation of locally stationary multivariate processes
• Locally adaptive estimation of evolutionary wavelet spectra

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