Causality measure of nonstationary processes by wavelets

MaRDI QIDQ3609060zbMATHFDO

Authors Hong-Min Tang, Zhongjie Xie

Publication date 6 March 2009

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)

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• scientific article; zbMATH DE number 4199388

Cited in

(2)

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

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