Forecasting non-stationary time series by wavelet process modelling

DOI10.1007/BF02523391zbMath1047.62085MaRDI QIDQ1880993

Piotr 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)

zbMATH Keywords

predictionlocal stationarityYule-Walker equationsnon-decimated waveletstime-modulated processes

Mathematics Subject Classification ID

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

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