A note on state space representations of locally stationary wavelet time series

DOI10.1016/j.spl.2008.07.015zbMath1152.62374arXiv0807.3113OpenAlexW1968959185MaRDI QIDQ2518952

Guy P. Nason, Kostas Triantafyllopoulos

Publication date: 21 January 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.3113

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Stationary stochastic processes (60G10)

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Cites Work

• Locally adaptive estimation of evolutionary wavelet spectra
• A Bayesian analysis of moving average processes with time-varying parameters
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• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
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• Unnamed Item

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