Estimating linear dependence between nonstationary time series using the locally stationary wavelet model

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/

zbMATH Keywords

nonstationaritywavelet coherencelocally stationary processbivariate time serieswavelet cross-spectrum

Mathematics Subject Classification ID

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

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Cited in

(18)

• Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series
• Simultaneous confidence band for stationary covariance function of dense functional data
• Multivariate locally stationary 2D wavelet processes with application to colour texture analysis
• Wavelet testing for a replicate-effect within an ordered multiple-trial experiment
• Classification of multiple time signals using localized frequency characteristics applied to industrial process monitoring
• Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series
• The locally stationary dual-tree complex wavelet model
• Multiscale spectral modelling for nonstationary time series within an ordered multiple-trial experiment
• Practical powerful wavelet packet tests for second-order stationarity
• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Local Covariance Estimation Using Costationarity
• Detecting changes in mean in the presence of time-varying autocovariance
• Complex-Valued Wavelet Lifting and Applications
• Block coherence: a method for measuring the interdependence between two blocks of neurobiological time series
• Trend locally stationary wavelet processes
• A note on state space representations of locally stationary wavelet time series
• Locally stationary wavelet packet processes: basis selection and model fitting
• Modelling time-varying first and second-order structure of time series via wavelets and differencing

Describes a project that uses

Uses Software

• haarfisz

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