Causality measure of nonstationary processes by wavelets

zbMATH Open1164.62038MaRDI QIDQ3609060FDOQ3609060

Authors: Hong-Min Tang, Zhongjie Xie 

Publication date: 6 March 2009

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zbMATH Keywords

wavelet transformsfractionally differenced stationary processnoncausality test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Cited In (2)

• Causal Wiener filter banks for periodically correlated time series
• On the causality between multiple locally stationary processes

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