Time-threshold maps: using information from wavelet reconstructions with all threshold values simultaneously

DOI10.1016/j.jkss.2012.02.006zbMath1296.62070MaRDI QIDQ459477

Piotr Fryzlewicz

Publication date: 13 October 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2012.02.006

zbMATH Keywords

wavelets; thresholding; volatility; breakpoint detection; time-threshold maps; unbalanced Haar

Mathematics Subject Classification ID

62G05: Nonparametric estimation

94A12: Signal theory (characterization, reconstruction, filtering, etc.)

65T60: Numerical methods for wavelets

62A09: Graphical methods in statistics

Uses Software

• WaveThresh4
• wavethresh
• EBayesThresh
• unbalhaar
• SiZer