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