Local Covariance Estimation Using Costationarity

DOI10.1007/978-1-4939-0569-0_6zbMath1332.62313OpenAlexW286201435MaRDI QIDQ2787357

Alessandro Cardinali

Publication date: 25 February 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10026.1/13473

zbMATH Keywords

waveletslocal stationaritycostationaritytime-varying covariances

Mathematics Subject Classification ID

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

Related Items (1)

The local partial autocorrelation function and some applications

Uses Software

• WaveThresh4
• wavethresh

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fitting time series models to nonstationary processes
• Estimating linear dependence between nonstationary time series using the locally stationary wavelet model
• Evolutionary Coherence of Nonstationary Signals
• Wavelets in time-series analysis
• Costationarity of Locally Stationary Time Series

This page was built for publication: Local Covariance Estimation Using Costationarity