A wavelet-based time-varying autoregressive model for non-stationary and irregular time series

DOI10.1080/02664763.2012.702267OpenAlexW1967489153MaRDI QIDQ5127101FDOQ5127101

Authors: Gladys E. Salcedo, Rogério F. Porto, S. Y. Roa, F. R. Momo 

Publication date: 21 October 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2012.702267

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zbMATH Keywords

waveletsautoregressive modellocally stationary processesmultiresolution analysisirregularly spaced time series

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Ten Lectures on Wavelets
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Functional-Coefficient Autoregressive Models
• Wavelets on the interval and fast wavelet transforms
• Title not available (Why is that?)
• Minimax estimation via wavelet shrinkage
• Composition operators on function spaces with fractional order of smoothness
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Wavelet shrinkage for nonequispaced samples
• Time-domain estimation of time-varying linear systems
• Wavelet based time-varying vector autoregressive modelling
• Title not available (Why is that?)
• Holt-Winters Method with Missing Observations
• Exponential smoothing for irregular data.

Cited In (4)

• Irregular nonparametric autoregression
• Wavelet based time-varying vector autoregressive modelling
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Wavelet fuzzy hybrid model for physico-financial signals

Uses Software

• wavethresh
• astsa

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