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

DOI10.1080/02664763.2012.702267MaRDI QIDQ5127101zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

waveletsautoregressive modellocally stationary processesmultiresolution analysisirregularly spaced time series

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 4102344 (Why is no real title available?)
• scientific article; zbMATH DE number 1085990 (Why is no real title available?)
• scientific article; zbMATH DE number 5040166 (Why is no real title available?)
• Composition operators on function spaces with fractional order of smoothness
• Exponential smoothing for irregular data.
• Functional-Coefficient Autoregressive Models
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Holt-Winters Method with Missing Observations
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Minimax estimation via wavelet shrinkage
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Ten Lectures on Wavelets
• Time-domain estimation of time-varying linear systems
• Wavelet based time-varying vector autoregressive modelling
• Wavelet shrinkage for nonequispaced samples
• Wavelets on the interval and fast wavelet transforms

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

Describes a project that uses

Uses Software

• astsa
• wavethresh

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