Practical powerful wavelet packet tests for second-order stationarity

DOI10.1016/j.acha.2016.06.006zbMath1387.62099MaRDI QIDQ108016

Alessandro Cardinali, Guy P. Nason, Alessandro Cardinali

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

bootstrap; local stationarity; stationarity test

Mathematics Subject Classification ID

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

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

62M15: Inference from stochastic processes and spectral analysis

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BootWPTOS

Uses Software

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