Forecasting non-stationary time series by wavelet process modelling
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References listed on IDEAS
- 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.
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- Xie, Yingfu, 2007. "Maximum likelihood estimation and forecasting for GARCH, Markov switching, and locally stationary wavelet processes," Department of Forest Economics publications 1594, Swedish University of Agricultural Sciences, Department of forest economics.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013.
"Robust estimation and forecasting of the long-term seasonal component of electricity spot prices,"
Elsevier, vol. 39(C), pages 13-27.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," MPRA Paper 42563, University Library of Munich, Germany.
- 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.
- 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.
- Fryzlewicz, Piotr & Nason, Guy P., 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.
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- Fryzlewicz, Piotr & Cho, Haeran, 2014. "Multiple change-point detection for high-dimensional time series via sparsified binary segmentation," LSE Research Online Documents on Economics 57147, London School of Economics and Political Science, LSE Library.
- Marios Sergides & Efstathios Paparoditis, 2009. "Frequency Domain Tests of Semiparametric Hypotheses for Locally Stationary Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(4), pages 800-821.
- Honglu Zhu & Xu Li & Qiao Sun & Ling Nie & Jianxi Yao & Gang Zhao, 2015. "A Power Prediction Method for Photovoltaic Power Plant Based on Wavelet Decomposition and Artificial Neural Networks," Energies, MDPI, Open Access Journal, vol. 9(1), pages 1-15, December.
- 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.
- repec:gam:jeners:v:9:y:2015:i:1:p:11:d:61229 is not listed on IDEAS
- repec:bla:jtsera:v:38:y:2017:i:2:p:151-174 is not listed on IDEAS
More about this item
KeywordsLocal stationarity; non-decimated wavelets; prediction; time-modulated processes; Yule-Walker equations;
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