Locally adaptive estimation of evolutionary wavelet spectra
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Publication:939667
DOI10.1214/07-AOS524zbMath1142.62067arXiv0808.1452MaRDI QIDQ939667
Sébastien Van Bellegem, Rainer von Sachs
Publication date: 28 August 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0808.1452
regularization; quadratic form; local stationarity; change-point; nonstationary time series; autocorrelation wavelet; pointwise adaptive estimation; wavelet spectrum
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems
62G05: Nonparametric estimation
62M15: Inference from stochastic processes and spectral analysis
Related Items
Discriminating between long-range dependence and non-stationarity, Spectral estimation for locally stationary time series with missing observations, A test for stationarity based on empirical processes, A note on state space representations of locally stationary wavelet time series, Testing Semiparametric Hypotheses in Locally Stationary Processes, Frequency Domain Tests of Semiparametric Hypotheses for Locally Stationary Processes, Thick Pen Transformation for Time Series, Haar–Fisz Estimation of Evolutionary Wavelet Spectra
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