Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes

DOI10.1080/10485250008832841MaRDI QIDQ4526141zbMATH OpenOpenAlexFDO

Authors

Publication date 20 May 2001

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

Full work available at URL https://doi.org/10.1080/10485250008832841

zbMATH Keywords

linear non-Gaussian processessimulationwavelet cross-covariance

Mathematics Subject Classification ID

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

Recommendations

• Wavelet scale analysis of bivariate time series i: motivation and estimation
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
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• scientific article; zbMATH DE number 1488134
• Asymptotic Decorrelation of Between-Scale Wavelet Coefficients

Cites work

• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• On estimation of the wavelet variance
• Spectral Analysis for Physical Applications
• Time series: theory and methods.

Cited in

(12)

• Scaling properties of foreign exchange volatility
• Discriminant analysis of multivariate time series: application to diagnosis based on ECG signals
• Time-frequency analysis of bivariate signals
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• Wavelet-based methods for high-frequency lead-lag analysis
• Continuous wavelet spectral analysis of climate dynamics
• \(M\)-estimation of wavelet variance
• Wavelet scale analysis of bivariate time series i: motivation and estimation
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• Testing for spurious and cointegrated regressions: A wavelet approach
• Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
• Wavelet-Variance-Based Estimation for Composite Stochastic Processes

Describes a project that uses

Uses Software

• sapa
• longmemo

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