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Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting

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  • Tata Subba Rao
  • Granville Tunnicliffe Wilson
  • Alessandro Cardinali
  • Guy P. Nason

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  • Tata Subba Rao & Granville Tunnicliffe Wilson & Alessandro Cardinali & Guy P. Nason, 2017. "Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 151-174, March.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:2:p:151-174
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    File URL: http://hdl.handle.net/10.1111/jtsa.12230
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    References listed on IDEAS

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    1. G. P. Nason & R. Von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 271-292.
    2. Hernando Ombao & Jonathan Raz & Rainer von Sachs & Wensheng Guo, 2002. "The SLEX Model of a Non-Stationary Random Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 171-200, March.
    3. Guy Nason, 2013. "A test for second-order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(5), pages 879-904, November.
    4. Nason, G.P. & von Sachs, R., 1999. "Wavelets in Time Series Analysis," Papers 9901, Catholique de Louvain - Institut de statistique.
    5. Fryzlewicz, Piotr & van Bellegem, Sébastien & von Sachs, Rainer, 2003. "Forecasting non-stationary time series by wavelet process modelling," LSE Research Online Documents on Economics 25830, London School of Economics and Political Science, LSE Library.
    6. Ombao, Hernando & von Sachs, Rainer & Guo, Wensheng, 2005. "SLEX Analysis of Multivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 519-531, June.
    7. Alessandro Cardinali, 2009. "A Generalized Multiscale Analysis Of The Predictive Content Of Eurodollar Implied Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-18.
    8. Lei Jin & Suojin Wang & Haiyan Wang, 2015. "A new non-parametric stationarity test of time series in the time domain," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(5), pages 893-922, November.
    9. Piotr Fryzlewicz & Sébastien Bellegem & Rainer Sachs, 2003. "Forecasting non-stationary time series by wavelet process modelling," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 737-764, December.
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    Cited by:

    1. Zhijian Wang & Likang Zheng & Wenhua Du & Wenan Cai & Jie Zhou & Jingtai Wang & Xiaofeng Han & Gaofeng He, 2019. "A Novel Method for Intelligent Fault Diagnosis of Bearing Based on Capsule Neural Network," Complexity, Hindawi, vol. 2019, pages 1-17, June.
    2. Euan T. McGonigle & Rebecca Killick & Matthew A. Nunes, 2022. "Trend locally stationary wavelet processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 895-917, November.

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