A Note on the Effect of Wavelet Choice on the Estimation of the Evolutionary Wavelet Spectrum

DOI10.1080/03610918.2011.625484zbMath1327.62465OpenAlexW2058931186MaRDI QIDQ5299832

Aimee N. Gott, Idris A. Eckley

Publication date: 21 June 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.625484

zbMATH Keywords

local stationaritynon-stationary time serieswavelet periodogramwavelet processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Trend locally stationary wavelet processes ⋮ A wavelet-based approach for detecting changes in second order structure within nonstationary time series ⋮ Spectral correction for locally stationary Shannon wavelet processes ⋮ A wavelet-based approach for imputation in nonstationary multivariate time series ⋮ Practical powerful wavelet packet tests for second-order stationarity

Cites Work

• Fitting time series models to nonstationary processes
• Forecasting non-stationary time series by wavelet process modelling
• Forecasting using locally stationary wavelet processes
• Ten Lectures on Wavelets
• Consistent Classification of Nonstationary Time Series Using Stochastic Wavelet Representations

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