Estimating linear dependence between nonstationary time series using the locally stationary wavelet model
From MaRDI portal
Publication:3585404
DOI10.1093/BIOMET/ASQ007zbMATH Open1406.62100OpenAlexW2042855093MaRDI QIDQ3585404FDOQ3585404
Authors:
Publication date: 19 August 2010
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/29141/
Recommendations
- On the causality between multiple locally stationary processes
- Wavelet based time-varying vector autoregressive modelling
- Time-dependent dual-frequency coherence in multivariate non-stationary time series
- Automatic Statistical Analysis of Bivariate Nonstationary Time Series
- Modeling dependence via copula of functionals of Fourier coefficients
nonstationaritywavelet coherencelocally stationary processbivariate time serieswavelet cross-spectrum
Cited In (18)
- Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
- Multivariate locally stationary 2D wavelet processes with application to colour texture analysis
- Complex-Valued Wavelet Lifting and Applications
- Local Covariance Estimation Using Costationarity
- A note on state space representations of locally stationary wavelet time series
- Trend locally stationary wavelet processes
- Classification of multiple time signals using localized frequency characteristics applied to industrial process monitoring
- Wavelet testing for a replicate-effect within an ordered multiple-trial experiment
- Practical powerful wavelet packet tests for second-order stationarity
- Modelling time-varying first and second-order structure of time series via wavelets and differencing
- Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series
- Simultaneous confidence band for stationary covariance function of dense functional data
- Block coherence: a method for measuring the interdependence between two blocks of neurobiological time series
- Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting
- The locally stationary dual-tree complex wavelet model
- Multiscale spectral modelling for nonstationary time series within an ordered multiple-trial experiment
- Detecting changes in mean in the presence of time-varying autocovariance
- Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series
Uses Software
This page was built for publication: Estimating linear dependence between nonstationary time series using the locally stationary wavelet model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3585404)
