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

DOI10.1016/J.SPL.2008.07.015MaRDI QIDQ2518952zbMATH OpenOpenAlexFDO

Authors Kostas Triantafyllopoulos, G. P. Nason

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, http://eprints.whiterose.ac.uk/10628/1/Maths_10628.pdf

Mathematics Subject Classification ID

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

Abstract: In this note we show that the locally stationary wavelet process can be decomposed into a sum of signals, each of which following a moving average process with time-varying parameters. We then show that such moving average processes are equivalent to state space models with stochastic design components. Using a simple simulation step, we propose a heuristic method of estimating the above state space models and then we apply the methodology to foreign exchange rates data.

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Cites work

• A Bayesian analysis of moving average processes with time-varying parameters
• Fitting time series models to nonstationary processes
• Forecasting non-stationary time series by wavelet process modelling
• Haar–Fisz Estimation of Evolutionary Wavelet Spectra
• scientific article; zbMATH DE number 700016 (Why is no real title available?)
• Locally adaptive estimation of evolutionary wavelet spectra
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Stationarity of multivariate Markov-switching ARMA models
• Statistical inference for time-inhomogeneous volatility models.

Cited in

(7)

• Practical powerful wavelet packet tests for second-order stationarity
• Locally stationary wavelet packet processes: basis selection and model fitting
• Wavelets in state space models
• Estimation and forecasting of locally stationary processes
• Costationarity of locally stationary time series
• Case study: shipping trend estimation and prediction via multiscale variance stabilisation
• ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS

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