Adaptive covariance estimation of locally stationary processes

DOI10.1214/AOS/1030563977zbMATH Open0949.62082OpenAlexW1983461984MaRDI QIDQ1807064FDOQ1807064

Stéphane Mallat, Zhifeng Zhang, George Papanicolaou

Publication date: 9 November 1999

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

Full work available at URL: https://doi.org/10.1214/aos/1030563977

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zbMATH Keywords

locally stationary processesadaptive covariance estimationlocal cosine basesapproximate Karhunen-Loeve basistime-varying spetrum

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12)

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• STATIONARY TANGENT: THE DISCRETE AND NON-SMOOTH CASE
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• Inference of the Trend in a Partially Linear Model with Locally Stationary Regressors
• Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
• Spectral analysis for harmonizable processes
• Statistical analysis of financial time series under the assumption of local stationarity
• A likelihood approximation for locally stationary processes
• Locally stationary harmonizable complex improper stochastic processes
• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Forecasting non-stationary time series by wavelet process modelling
• ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES
• Locally stationary stochastic processes and Weyl symbols of positive operators
• Identifying shifts between two regression curves
• Some inequalities for covariance with applications in statistics
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• Haar–Fisz Estimation of Evolutionary Wavelet Spectra
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• Cross validation for locally stationary processes
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• Forecasting using locally stationary wavelet processes
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