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

DOI10.1016/j.spl.2008.07.015zbMath1152.62374arXiv0807.3113MaRDI 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

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

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

60G10: Stationary stochastic processes