Wavelets in time-series analysis

DOI10.1098/RSTA.1999.0445MaRDI QIDQ4719448zbMATH OpenOpenAlexFDO

Authors Rainer von Sachs, G. P. Nason

Publication date 1999

Published in Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1098/rsta.1999.0445

zbMATH Keywords

Allan variancelocally stationary time-serieslong-memory processestime-scale analysiswavelet processeswavelet spectrum

Mathematics Subject Classification ID

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

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