Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra

DOI10.1214/aos/1034276621zbMath0871.62081OpenAlexW1985002782MaRDI QIDQ1355168

Michael H. Neumann, Rainer von Sachs

Publication date: 23 June 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1034276621

zbMATH Keywords

smoothing evolutionary spectrum adaptive estimation optimal rate of convergence time-frequency plane minimax rates time-dependent spectrum anisotropic smoothness classes coordinatewise thresholded wavelet estimator locally stationary time series tensor product basis

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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