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Forecasting non-stationary time series by wavelet process modelling


  • Piotr Fryzlewicz


  • Sébastien Bellegem


  • Rainer Sachs



No abstract is available for this item.

Suggested Citation

  • 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.
  • Handle: RePEc:spr:aistmt:v:55:y:2003:i:4:p:737-764
    DOI: 10.1007/BF02523391

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    References listed on IDEAS

    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 are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. 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.
    2. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
    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. 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.
    5. Fryzlewicz, Piotr & Ombao, Hernando, 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. repec:gam:jeners:v:9:y:2015:i:1:p:11:d:61229 is not listed on IDEAS
    11. repec:bla:jtsera:v:38:y:2017:i:2:p:151-174 is not listed on IDEAS


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