Forecasting non-stationary time series by wavelet process modelling

DOI10.1007/BF02523391zbMATH Open1047.62085MaRDI QIDQ1880993FDOQ1880993

Authors: P. Fryzlewicz, Rainer von Sachs, Sébastien Van Bellegem 

Publication date: 27 September 2004

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

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zbMATH Keywords

predictionlocal stationarityYule-Walker equationsnon-decimated waveletstime-modulated processes

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and prediction (62M20) Applications of statistics to environmental and related topics (62P12) Numerical methods for wavelets (65T60)

Cites Work

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• Smoothness estimates for soft-threshold denoising via translation-invariant wavelet transforms
• CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY
• Time-varying parameters prediction

Cited In (33)

• Frequency domain tests of semiparametric hypotheses for locally stationary process
• A note on the effect of wavelet choice on the estimation of the evolutionary wavelet spectrum
• Statistical analysis of financial time series under the assumption of local stationarity
• Wavelet-based prediction of oil prices
• MODWT-ARMA model for time series prediction
• Forecasting non-stationary time series by wavelet process modelling
• Locally stationary wavelet packet processes: basis selection and model fitting
• Multivariate locally stationary 2D wavelet processes with application to colour texture analysis
• Wavelet spectral testing: application to nonstationary circadian rhythms
• Transfer function models with time-varying coefficients
• Time-varying parameter auto-regressive models for autocovariance nonstationary time series
• A note on state space representations of locally stationary wavelet time series
• Trend locally stationary wavelet processes
• A WAVELET TRANSFER MODEL FOR TIME SERIES FORECASTING
• A hybrid framework for asphalt pavement rutting prediction modeling and influencing factors analysis based on multilevel wavelet decomposition and transfer entropy
• Case study: shipping trend estimation and prediction via multiscale variance stabilisation
• Costationary Whitenoise processes and local stationarity testing
• Model-free prediction of time series: a nonparametric approach
• Forecasting using locally stationary wavelet processes
• Wavelet methods in statistics: some recent developments and their applications
• Nonstationary time series forecasting using wavelets and kernel smoothing
• Analysis and short-time extrapolation of stock market indexes through projection onto discrete wavelet subspaces
• Practical powerful wavelet packet tests for second-order stationarity
• A wavelet-based approach for imputation in nonstationary multivariate time series
• FORECASTING TIME SERIES USING WAVELETS
• The local partial autocorrelation function and some applications
• Harmonic recurrent process for time series forecasting
• Autoregressive approximations to nonstationary time series with inference and applications
• Flow field forecasting for univariate time series
• Wavelet packet transfer function modelling of nonstationary time series
• ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS
• Locally adaptive estimation of evolutionary wavelet spectra
• Prediction in Locally Stationary Time Series

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