Transfer function models with time-varying coefficients

DOI10.1155/2012/451076MaRDI QIDQ428348zbMATHOpenAlexWikidataFDO

Authors Maria Sílvia De A. Moura, Clélia M. C. Toloi, Chang Chiann, Pedro A. Morettin

Publication date 19 June 2012

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2012/451076

zbMATH Keywords

estimationleast squares methodwavelet expansions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Evolutionary transfer functions of bilinear processes with time-varying coefficients
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Cites work

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• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Better Subset Regression Using the Nonnegative Garrote
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• Spectral Analysis for Physical Applications
• Ten Lectures on Wavelets
• The Lifting Scheme: A Construction of Second Generation Wavelets
• Time-domain estimation of time-varying linear systems
• Wavelet estimation for samples with random uniform design
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• Wavelet packet transfer function modelling of nonstationary time series
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• Wavelet shrinkage for nonequispaced samples
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Cited in

(7)

• Wavelet packet transfer function modelling of nonstationary time series
• Nonparametric transfer function models
• Wavelet estimation for factor models with time-varying loadings
• Time series analysis of covariance based on linear transfer function models
• Time-domain estimation of time-varying linear systems
• scientific article; zbMATH DE number 913824 (Why is no real title available?)
• Evolutionary transfer functions of bilinear processes with time-varying coefficients

Describes a project that uses

Uses Software

• WaveThresh4
• wavethresh
• sapa
• wmtsa

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