Modelling time-varying first and second-order structure of time series via wavelets and differencing
From MaRDI portal
Publication:2168089
DOI10.1214/22-EJS2044MaRDI QIDQ2168089
Matthew A. Nunes, Euan T. McGonigle, 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
trend estimation; wavelet thresholding; wavelet spectrum; differencing; locally stationary time series
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting
- haarfisz
- Locally stationary long memory estimation
- Nonparametric regression for locally stationary time series
- Locally adaptive estimation of evolutionary wavelet spectra
- Eigenvalues and pseudo-eigenvalues of Toeplitz matrices
- Time series: theory and methods.
- Time-frequency analysis of locally stationary Hawkes processes
- Two-step estimation of time-varying additive model for locally stationary time series
- Locally adaptive fitting of semiparametric models to nonstationary time series.
- Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
- Non-parametric Curve Estimation by Wavelet Thresholding with Locally Stationary Errors
- Haar–Fisz Estimation of Evolutionary Wavelet Spectra
- Estimating linear dependence between nonstationary time series using the locally stationary wavelet model
- Ten Lectures on Wavelets
- A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing
- Wavelets
- A Test for Second-Order Stationarity and Approximate Confidence Intervals for Localized Autocovariances for Locally Stationary Time Series
- Optimal Detection of Changepoints With a Linear Computational Cost
- Multiscale Inference and Long-Run Variance Estimation in Non-Parametric Regression with Time Series Errors
- Trend locally stationary wavelet processes