Long memory and changepoint models: a spectral classification procedure

DOI10.1007/S11222-017-9731-0MaRDI QIDQ1702010zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Ben Norwood, Rebecca Killick

Publication date 27 February 2018

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11222-017-9731-0

zbMATH Keywords

changepointclassificationlong memorynon-stationaritywavelet spectrum

Mathematics Subject Classification ID

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

Cited in

(2)

• Autocovariance estimation in the presence of changepoints
• Considering long-memory when testing for changepoints in surface temperature: a classification approach based on the time-varying spectrum

Describes a project that uses

Uses Software

• R
• forecast
• wavethresh
• Forecast
• haarfisz
• locits
• fractal

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