Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes

DOI10.1080/10485250008832841zbMath0960.62095OpenAlexW2018061060MaRDI QIDQ4526141

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Publication date: 20 May 2001

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250008832841

zbMATH Keywords

simulationlinear non-Gaussian processeswavelet cross-covariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Related Items (8)

Discriminant analysis of multivariate time series: application to diagnosis based on ECG signals ⋮ Testing for spurious and cointegrated regressions: A wavelet approach ⋮ Time-frequency analysis of bivariate signals ⋮ Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series ⋮ Wavelet-Variance-Based Estimation for Composite Stochastic Processes ⋮ Asymptotic normality of wavelet estimators of the memory parameter for linear processes ⋮ Wavelet-Based Methods for High-Frequency Lead-Lag Analysis ⋮ Scaling properties of foreign exchange volatility

Uses Software

• longmemo
• sapa

Cites Work

• Time series: theory and methods.
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Spectral Analysis for Physical Applications
• On estimation of the wavelet variance
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