Wavelet variance analysis for gappy time series

DOI10.1007/S10463-008-0195-ZMaRDI QIDQ907025zbMATH OpenOpenAlexFDO

Authors D. Mondal, Donald B. Percival

Publication date 1 February 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-008-0195-z

zbMATH Keywords

cumulantfractionally differenced processlocal stationarityNile River minimasemi-variogramTAO data

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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• Wavelet analysis of signals with gaps
• Wavelets in time-series analysis

Cited in

(10)

• Wavelet transforms applied to irregularly sampled soil data
• Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
• Estimation of long-range dependence in gappy Gaussian time series
• \(M\)-estimation of wavelet variance
• Wavelet analysis of signals with gaps
• On estimation of the wavelet variance
• Slepian wavelet variances for regularly and irregularly sampled time series
• Wavelet variances for heavy-tailed time series
• Spectral estimation for locally stationary time series with missing observations
• Wavelet-based Hurst exponent estimation

Describes a project that uses

Uses Software

• longmemo
• wmtsa

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