Time-domain estimation of time-varying linear systems

DOI10.1080/10485250500038728MaRDI QIDQ4675905zbMATH OpenOpenAlexFDO

Authors Chang Chiann, Pedro A. Morettin

Publication date 6 May 2005

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250500038728

zbMATH Keywords

kernels estimatorlocally stationary processestime-varying systemswavelets

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Density estimation (62G07) Non-Markovian processes: estimation (62M09) Numerical methods for wavelets (65T60)

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Cites work

• Distributed lag approximation to linear time-invariant systems
• Efficient estimation of conditional variance functions in stochastic regression
• Estimation of time varying linear systems
• Fitting time series models to nonstationary processes
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3502569 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Ten Lectures on Wavelets
• Wavelets on the interval and fast wavelet transforms

Cited in

(9)

• Wavelet based time-varying vector autoregressive modelling
• Transfer function models with time-varying coefficients
• Transfer functions in dynamic generalized linear models
• Correction Structures for Linear Weakly Time-Varying Systems
• Wavelet estimation for factor models with time-varying loadings
• A wavelet-based time-varying autoregressive model for non-stationary and irregular time series
• Estimation of time varying linear systems
• Time-varying spatio-temporal models by wavelets
• A test for comparing two discrete stochastic dynamical systems under heteroskedasticity

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