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Forecasting non-stationary time series by wavelet process modelling

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Author Info

  • Piotr Fryzlewicz

    ()

  • Sébastien Bellegem

    ()

  • Rainer Sachs

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/BF02523391
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 55 (2003)
    Issue (Month): 4 (December)
    Pages: 737-764

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    Handle: RePEc:spr:aistmt:v:55:y:2003:i:4:p:737-764

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Local stationarity; non-decimated wavelets; prediction; time-modulated processes; Yule-Walker equations;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Ombao H. C & Raz J. A & von Sachs R. & Malow B. A, 2001. "Automatic Statistical Analysis of Bivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 543-560, June.
    2. R. Dahlhaus & M. Neumann & R. von Sachs, 1997. "Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes," SFB 373 Discussion Papers 1997,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Nason, G.P. & von Sachs, R., 1999. "Wavelets in Time Series Analysis," Papers 9901, Catholique de Louvain - Institut de statistique.
    4. Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 139-168, March.
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    Citations

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    Cited by:
    1. Piotr Fryzlewicz & Hernando Ombao, 2009. "Consistent classification of non-stationary time series using stochastic wavelet representations," LSE Research Online Documents on Economics 25162, London School of Economics and Political Science, LSE Library.
    2. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports HSC/12/06, Hugo Steinhaus Center, Wroclaw University of Technology.
    3. repec:hal:journl:halshs-00270708 is not listed on IDEAS
    4. Piotr Fryzlewicz & Guy P. Nason, 2004. "Smoothing the wavelet periodogram using the Haar-Fisz transform," LSE Research Online Documents on Economics 25231, London School of Economics and Political Science, LSE Library.
    5. Triantafyllopoulos, K. & Nason, G.P., 2009. "A note on state space representations of locally stationary wavelet time series," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 50-54, January.

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