Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting
From MaRDI portal
Publication:113359
DOI10.1111/jtsa.12230zbMath1360.62444OpenAlexW2586781516MaRDI QIDQ113359
Guy Nason, Alessandro Cardinali, Alessandro Cardinali, Guy P. Nason
Publication date: 8 February 2017
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12230
wavelet packetlocal stationaritylocally stationary Fourier processlocally stationary wavelet process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for wavelets (65T60)
Related Items
Modelling time-varying first and second-order structure of time series via wavelets and differencing ⋮ Trend locally stationary wavelet processes ⋮ LSWPlib
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Practical powerful wavelet packet tests for second-order stationarity
- Wavelet packet transfer function modelling of nonstationary time series
- On a small sample adjustment for the profile score function in semiparametric smoothing models
- Fitting time series models to nonstationary processes
- The SLEX model of a non-stationary random process
- Adaptive covariance estimation of locally stationary processes
- Forecasting non-stationary time series by wavelet process modelling
- On the Cholesky factorization of the Gram matrix of locally supported functions
- A theory for multiresolution signal decomposition: the wavelet representation
- Estimating linear dependence between nonstationary time series using the locally stationary wavelet model
- A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES
- Ten Lectures on Wavelets
- The phase–corrected undecimated discrete wavelet packet transform and its application to interpreting the timing of events
- Maximum likelihood estimation and model selection for locally stationary processes∗
- Automatic Statistical Analysis of Bivariate Nonstationary Time Series
- Estimating Time-Evolving Partial Coherence Between Signals via Multivariate Locally Stationary Wavelet Processes
- Wavelets in time-series analysis
- Entropy-based algorithms for best basis selection
- Costationarity of Locally Stationary Time Series
- Locally stationary covariance and signal estimation with macrotiles
- SLEX Analysis of Multivariate Nonstationary Time Series
