Causality measure of nonstationary processes by wavelets

MaRDI QIDQ3609060zbMATH OpenFDO

Authors Hong-Min Tang, Zhongjie Xie

Publication date 6 March 2009

zbMATH Keywords

fractionally differenced stationary processnoncausality testwavelet transforms

Mathematics Subject Classification ID

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

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Cited in

(2)

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

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