Estimation of nonlinear autoregressive models using design-adapted wavelets

DOI10.1007/BF02507024zbMATH Open1083.62085OpenAlexW2066219104MaRDI QIDQ816372FDOQ816372

Authors: Véronique Delouille, Rainer von Sachs 

Publication date: 10 March 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02507024

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zbMATH Keywords

ARCH models\(\beta\)-mixing conditions\(l_2\)-risk of wavelet coefficientsautoregressive designbiorthogonal wavelet transform

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

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Cited In (9)

• Title not available (Why is that?)
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Regression with autocorrelated errors using design-adapted Haar wavelets
• Autoregressive functions estimation in nonlinear bifurcating autoregressive models
• Two-dimensional wavelets for nonlinear autoregressive models with an application in dynamical system
• Wavelet change-point estimation for long memory non-parametric random design models
• Estimation of the autoregressive operator by wavelet packets
• Estimation of nonlinear autoregressive models using design-adapted wavelets
• Asymptotic properties of wavelet-based estimator in nonparametric regression model with weakly dependent processes

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