SPECTRAL DENSITY ESTIMATION VIA NONLINEAR WAVELET METHODS FOR STATIONARY NON-GAUSSIAN TIME SERIES

DOI10.1111/j.1467-9892.1996.tb00295.xzbMath0873.62099OpenAlexW2011935692MaRDI QIDQ4337820

Michael H. Neumann

Publication date: 27 May 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00295.x

zbMATH Keywords

asymptotic normalitylarge deviationsspectral density estimationtapered periodogrammonotone estimatorsrisk equivalencenonlinear wavelet estimatorsnonlinear wavelet shrinkageBesov smoothness classesoptimal uniform rate of convergence

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (21)

Nonparametric regression on random fields with random design using wavelet method ⋮ Sharp minimax tests for large Toeplitz covariance matrices with repeated observations ⋮ Locally adaptive fitting of semiparametric models to nonstationary time series. ⋮ Densities, spectral densities and modality. ⋮ Functional mixed effects wavelet estimation for spectra of replicated time series ⋮ Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra ⋮ Nonlinear wavelet-based estimation to spectral density for stationary non-Gaussian linear processes ⋮ Nonlinear spectral density estimation: thresholding the correlogram ⋮ Wavelet estimation of functional coefficient regression models ⋮ Tests for the Equality of Two Processes' Spectral Densities with Unequal Lengths Using Wavelet Methods ⋮ Data-driven wavelet-Fisz methodology for nonparametric function estimation ⋮ On testing for serial correlation of unknown form using wavelet thresholding ⋮ Time-threshold maps: using information from wavelet reconstructions with all threshold values simultaneously ⋮ Locally adaptive estimation of evolutionary wavelet spectra ⋮ A wavelet-Fisz approach to spectrum estimation ⋮ Unnamed Item ⋮ Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators ⋮ A wavelet analysis for time series ⋮ A test for second order stationarity of a multivariate time series

Uses Software

• XploRe

Cites Work

• Unnamed Item
• Theory of function spaces
• Rate of uniform convergence of statistical estimators of spectral density in spaces of differentiable functions
• A general lemma on probabilities of large deviations
• Large deviations for estimates of spectrum of stationary series
• Large deviations for the spectral estimate of a stationary Gaussian sequence
• Unconditional bases are optimal bases for data compression and for statistical estimation
• Minimax risk over \(l_ p\)-balls for \(l_ q\)-error
• Minimax estimation via wavelet shrinkage
• Nonparametric high resolution spectral estimation
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• On a Method of Calculation of Semi-Invariants
• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
• Automatic Smoothing of the Log Periodogram
• Ten Lectures on Wavelets

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