Forecasting non-stationary time series by wavelet process modelling

Annals of the Institute of Statistical Mathematics

Volumn 55, Issue 4, 2003, Pages 737-764

  Fryzlewicz, Piotr ^a   Van Bellegem, Sébastien ^b   Von Sachs, Rainer ^b  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Local stationarity; Non decimated wavelets; Prediction; Time modulated processes; Yule Walker equations

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTATIONAL METHODS; FORECASTING; FOURIER TRANSFORMS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; WAVELET TRANSFORMS;

LOCAL STATIONARITY; NON-DECIMATED WAVELETS; PREDICTION; TIME-MODULATED PROCESSES; YULE-WALKER EQUATIONS;

TIME SERIES ANALYSIS;

EID: 11144355355     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02523391     Document Type: Article

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