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

DOI10.1214/22-EJS2044MaRDI QIDQ2168089zbMATH OpenOpenAlexFDO

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, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/Modelling-time-varying-first-and-second-order-structure-of-time/10.1214/22-EJS2044.full

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

• scientific article; zbMATH DE number 802858 (Why is no real title available?)
• scientific article; zbMATH DE number 802867 (Why is no real title available?)
• A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing
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• Locally adaptive estimation of evolutionary wavelet spectra
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• Locally stationary long memory estimation
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• Multiscale inference and long-run variance estimation in non-parametric regression with time series errors
• Non-parametric curve estimation by wavelet thresholding with locally stationary errors
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• Ten Lectures on Wavelets
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• Trend locally stationary wavelet processes
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• Wavelet methods in statistics with R
• Wavelets
• (SOFTWARE) haarfisz

Cited in

(1)

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

Describes a project that uses

Uses Software

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

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