Practical powerful wavelet packet tests for second-order stationarity

DOI10.1016/J.ACHA.2016.06.006MaRDI QIDQ108016zbMATH OpenOpenAlexFDO

Authors Alessandro Cardinali, Alessandro Cardinali, G. P. Nason

Publication date May 2018

Published in Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10026.1/12910

zbMATH Keywords

bootstraplocal stationaritystationarity test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(9)

• Locally stationary wavelet packet processes: basis selection and model fitting
• Case study: shipping trend estimation and prediction via multiscale variance stabilisation
• BootWPTOS
• The local partial autocorrelation function and some applications
• A test for second-order stationarity of a time series based on the discrete Fourier transform
• Wavelet multidimensional scaling analysis of European economic sentiment indicators
• The locally stationary dual-tree complex wavelet model
• An integrate-and-fire model to generate spike trains with long-range dependence
• Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series

Describes a project that uses

Uses Software

• wmtsa
• LS2W
• fractal
• haarfisz
• wavethresh
• WaveThresh4
• R

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