Comparing non-stationary and irregularly spaced time series

DOI10.1016/j.csda.2012.05.022zbMath1255.62281MaRDI QIDQ1927173

Gladys E. Salcedo, Rogério F. Porto, Pedro Alberto Morettin

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.05.022

zbMATH Keywords

hypothesis testing; multiresolution approximation; distributions of quadratic forms; locally stationary wavelet processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

62M15: Inference from stochastic processes and spectral analysis

62E17: Approximations to statistical distributions (nonasymptotic)

Related Items

A computational method to compare spectral densities of independent periodically correlated time series, Polarization of forecast densities: a new approach to time series classification, A computational technique to classify several fractional Brownian motion processes, Robust tests for time series comparison based on Laplace periodograms

Uses Software

• wmtsa

Cites Work

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