Time-domain estimation of time-varying linear systems

DOI10.1080/10485250500038728zbMath1061.62125MaRDI QIDQ4675905

Chang Chiann, Pedro Alberto Morettin

Publication date: 6 May 2005

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

Full work available at URL: https://doi.org/10.1080/10485250500038728

zbMATH Keywords

wavelets; time-varying systems; locally stationary processes; kernels estimator

Mathematics Subject Classification ID

62G07: Density estimation

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

62M09: Non-Markovian processes: estimation

65T60: Numerical methods for wavelets

Related Items

Transfer function models with time-varying coefficients, A test for comparing two discrete stochastic dynamical systems under heteroskedasticity, Wavelet based time-varying vector autoregressive modelling

Cites Work

• Distributed lag approximation to linear time-invariant systems
• Wavelets on the interval and fast wavelet transforms
• Fitting time series models to nonstationary processes
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Ten Lectures on Wavelets
• Efficient estimation of conditional variance functions in stochastic regression
• Estimation of time varying linear systems
• Unnamed Item
• Unnamed Item
• Unnamed Item