Transformation to approximate independence for locally stationary Gaussian processes

DOI10.1111/JTSA.12034MaRDI QIDQ5397974zbMATH OpenOpenAlexWikidataFDO

Authors Michael L. Stein, Joseph Guinness

Publication date 25 February 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12034

zbMATH Keywords

spectral analysisperiodogramlocally stationary

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

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Cites work

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• A likelihood approximation for locally stationary processes
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Fitting time series models to nonstationary processes
• Local spectral analysis via a Bayesian mixture of smoothing splines
• On the Kullback-Leibler information divergence of locally stationary processes
• Smoothing Spline ANOVA for Time-Dependent Spectral Analysis
• Structural Break Estimation for Nonstationary Time Series Models
• The SLEX model of a non-stationary random process
• Time-Dependent Spectral Analysis of Nonstationary Time Series
• Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra

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(4)

• Interpolation of nonstationary high frequency spatial-temporal temperature data
• Temperatures in transient climates: improved methods for simulations with evolving temporal covariances
• A level-crossing-based scaling dimensionality transform applied to stationary Gaussian processes
• Partition-Based Nonstationary Covariance Estimation Using the Stochastic Score Approximation

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