Non-Parametric and Adaptive Modelling of Dynamic Periodicity and Trend with Heteroscedastic and Dependent Errors

DOI10.1111/rssb.12039zbMath1411.62251arXiv1210.4672OpenAlexW2009807369MaRDI QIDQ5743259

Hau-Tieng Wu, Ming-Yen Cheng, Yu Chun Chen

Publication date: 9 May 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.4672

zbMATH Keywords

cycles non-stationary processes instantaneous frequency time-frequency analysis periodic functions autoregressive moving average errors continuous time autoregressive moving average processes synchro-squeezing transform

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nonparametric estimation (62G05)

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