The local partial autocorrelation function and some applications

DOI10.1214/20-ejs1748zbMath1448.62133arXiv2004.12716OpenAlexW3086922814MaRDI QIDQ87410

Marina Knight, Rebecca Killick, Idris A. Eckley, Guy Nason, Guy P. Nason, Marina I. Knight, Rebecca Killick, Idris A. Eckley

Publication date: 1 January 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.12716

zbMATH Keywords

waveletslocally stationary time seriesHaar cross-correlation waveletintegrated local wavelet periodogrampractical estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Related Items (4)

Wavelet testing for a replicate-effect within an ordered multiple-trial experiment ⋮ The local partial autocorrelation function and some applications ⋮ lpacf ⋮ Multiscale spectral modelling for nonstationary time series within an ordered multiple-trial experiment

Uses Software

• wavethresh
• locits
• fractal
• BootWPTOS
• SiZer

Cites Work

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