Long memory and changepoint models: a spectral classification procedure
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
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Cites work
- scientific article; zbMATH DE number 784362 (Why is no real title available?)
- scientific article; zbMATH DE number 3290822 (Why is no real title available?)
- A Test for Second-Order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series
- A wavelet-based approach for detecting changes in second order structure within nonstationary time series
- An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
- Consistent classification of nonstationary time series using stochastic wavelet representations
- Fractional integration versus level shifts: the case of realized asset correlations
- Haar–Fisz Estimation of Evolutionary Wavelet Spectra
- Likelihood inference for discriminating between long-memory and change-point models
- Long memory and regime switching
- Multiscale and multilevel technique for consistent segmentation of nonstationary time series
- On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes
- Optimal detection of changepoints with a linear computational cost
- Ten Lectures on Wavelets
- Varieties of long memory models
- Wavelet methods in statistics with R
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