Modelling time-varying first and second-order structure of time series via wavelets and differencing
Author:
Affiliation:
1. STOR-i Centre for Doctoral Training, Lancaster University, Lancaster, UK
2. Department of Mathematics and Statistics, Lancaster University, Lancaster, UK
3. Department of Mathematical Sciences, University of Bath, Bath, UK
Publisher
Institute of Mathematical Statistics
Subject
Statistics and Probability,Statistics, Probability and Uncertainty
Reference33 articles.
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2. KILLICK, R., FEARNHEAD, P. and ECKLEY, I. A. (2012). Optimal detection of changepoints with a linear computational cost. Journal of the American Statistical Association 107 1590–1598.
3. BROCKWELL, P. J., DAVIS, R. A. and FIENBERG, S. E. (1991). Time Series: Theory and Methods. Springer Science & Business Media.
4. CARDINALI, A. and NASON, G. P. (2017). Locally stationary wavelet packet processes: basis selection and model fitting. Journal of Time Series Analysis 38 151–174.
5. CHAN, K. H., HAYYA, J. C. and ORD, J. K. (1977). A note on trend removal methods: the case of polynomial regression versus variate differencing. Econometrica (pre-1986) 45 737.
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