Trend locally stationary wavelet processes

DOI10.1111/JTSA.12643MaRDI QIDQ6134636zbMATH OpenOpenAlexFDO

Authors Euan T. McGonigle, Rebecca Killick, M. A. Nunes

Publication date 22 August 2023

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://research-information.bris.ac.uk/en/publications/48da7c7e-b9c8-4794-9de8-71201ca2e46d

zbMATH Keywords

non-stationary time seriestrend estimationclimate datalocally stationarywavelet spectrum

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

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Cited in

(4)

• Robust multiscale estimation of time-average variance for time series segmentation
• Spectral representation and estimation for locally stationary wavelet processes
• Forecasting using locally stationary wavelet processes
• Modelling time-varying first and second-order structure of time series via wavelets and differencing

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