Regression with autocorrelated errors using design-adapted Haar wavelets

DOI10.1515/1941-1928.1067MaRDI QIDQ4928552zbMATH OpenOpenAlexFDO

Authors Rogério F. Porto, Elisete C. Q. Aubin, Pedro A. Morettin

Publication date 14 June 2013

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

Full work available at URL https://doi.org/10.1515/1941-1928.1067

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Minimax procedures in statistical decision theory (62C20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(5)

• Estimation of nonparametric regression models by wavelets
• Wavelet smoothing for data with autocorrelated errors
• Transfer function models with time-varying coefficients
• Adaptive wavelet multivariate regression with errors in variables
• Nonparametric regression with warped wavelets and strong mixing processes

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