Modelling time-varying first and second-order structure of time series via wavelets and differencing

DOI10.1214/22-EJS2044OpenAlexW3194441895MaRDI QIDQ2168089FDOQ2168089

Authors: Euan T. McGonigle, M. A. Nunes, Rebecca Killick 

Publication date: 31 August 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.07550

zbMATH Keywords

locally stationary time seriestrend estimationwavelet thresholdingwavelet spectrumdifferencing

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• (SOFTWARE) haarfisz
• Haar–Fisz Estimation of Evolutionary Wavelet Spectra
• Time series: theory and methods.
• Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
• Non-parametric curve estimation by wavelet thresholding with locally stationary errors
• Ten Lectures on Wavelets
• A Test for Second-Order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series
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• Optimal detection of changepoints with a linear computational cost
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• Wavelets
• Locally adaptive estimation of evolutionary wavelet spectra
• Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting
• Nonparametric regression for locally stationary time series
• Eigenvalues and pseudo-eigenvalues of Toeplitz matrices
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• Title not available (Why is that?)
• A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing
• Locally adaptive fitting of semiparametric models to nonstationary time series.
• Time-frequency analysis of locally stationary Hawkes processes
• Two-step estimation of time-varying additive model for locally stationary time series
• Multiscale Inference and Long-Run Variance Estimation in Non-Parametric Regression with Time Series Errors
• Trend locally stationary wavelet processes

Cited In (1)

• Gaussian approximation for nonstationary time series with optimal rate and explicit construction

Uses Software

• R
• WaveThresh4
• wavethresh
• changepoint
• astsa
• haarfisz
• locits

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