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Consistent classification of non-stationary time series using stochastic wavelet representations

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  • Fryzlewicz, Piotr
  • Ombao, Hernando

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  • 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.
    • Handle: RePEc:ehl:lserod:25162
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    File URL: http://eprints.lse.ac.uk/25162/
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    References listed on IDEAS

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    1. 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.
    2. Fryzlewicz, Piotr, 2007. "Unbalanced Haar technique for nonparametric function estimation," LSE Research Online Documents on Economics 25216, London School of Economics and Political Science, LSE Library.
    3. Sun, Wenguang & Cai, T. Tony, 2007. "Oracle and Adaptive Compound Decision Rules for False Discovery Rate Control," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 901-912, September.
    4. 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.
    5. 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.
    6. Shumway, Robert H., 2003. "Time-frequency clustering and discriminant analysis," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 307-314, July.
    7. Sakiyama, Kenji & Taniguchi, Masanobu, 2004. "Discriminant analysis for locally stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 282-300, August.
    8. Fryzlewicz, Piotr, 2007. "Unbalanced Haar Technique for Nonparametric Function Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1318-1327, December.
    9. Nason, G.P. & von Sachs, R., 1999. "Wavelets in Time Series Analysis," Papers 9901, Catholique de Louvain - Institut de statistique.
    10. 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.
    11. 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.
    12. Chandler, Gabriel & Polonik, Wolfgang, 2006. "Discrimination of Locally Stationary Time Series Based on the Excess Mass Functional," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 240-253, March.
    13. Hsiao-Yun Huang & Hernando Ombao & David S. Stoffer, 2004. "Discrimination and Classification of Nonstationary Time Series Using the SLEX Model," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 763-774, January.
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    Cited by:

    1. Minji Kim & Hee-Seok Oh & Yaeji Lim, 2023. "Zero-Inflated Time Series Clustering Via Ensemble Thick-Pen Transform," Journal of Classification, Springer;The Classification Society, vol. 40(2), pages 407-431, July.

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    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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