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Volumn 17, Issue 3, 2005, Pages 365-383

Time-domain estimation of time-varying linear systems

Author keywords

Kernels estimators; Locally stationary processes; Time varying systems; Wavelets

Indexed keywords


EID: 16244387347     PISSN: 10485252     EISSN: None     Source Type: Journal    
DOI: 10.1080/10485250500038728     Document Type: Article
Times cited : (10)

References (20)
  • 1
    • 0031518090 scopus 로고    scopus 로고
    • Fitting time series models to nonstationary processes
    • Dahlhaus, R., 1997, Fitting time series models to nonstationary processes. The Annals of Statistics, 25, 1-37.
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    • Dahlhaus, R.1
  • 2
    • 0346744300 scopus 로고
    • Distributed lag approximation to linear time-invariant systems
    • Robinson, P.M., 1979, Distributed lag approximation to linear time-invariant systems. The Annals of Statistics, 7, 507-515
    • (1979) The Annals of Statistics , vol.7 , pp. 507-515
    • Robinson, P.M.1
  • 7
    • 16244401764 scopus 로고    scopus 로고
    • Department of Mathematical Sciences, University of Wisconsin-Milwaukee, Preprint
    • Walter, W.W. and Cai, L., 1998, Periodic wavelets from scratch. Department of Mathematical Sciences, University of Wisconsin-Milwaukee, Preprint.
    • (1998) Periodic Wavelets from Scratch
    • Walter, W.W.1    Cai, L.2
  • 9
    • 0000370306 scopus 로고
    • Nonlinear wavelet methods for recovery of signals, densities, and spectra from indirect and noisy data
    • AMS
    • Donoho, D.L., 1993, Nonlinear wavelet methods for recovery of signals, densities, and spectra from indirect and noisy data. Proceedings of Symposia in Applied Mathematics, 57, 173-205, AMS.
    • (1993) Proceedings of Symposia in Applied Mathematics , vol.57 , pp. 173-205
    • Donoho, D.L.1
  • 10
    • 0346091473 scopus 로고
    • Wavelets and optimal nonlinear function estimates
    • Statistics Department, University of California, Berkeley
    • Donoho, D.L. and Johnstone, I.M., 1990, Wavelets and optimal nonlinear function estimates. Technical Report no. 281, Statistics Department, University of California, Berkeley.
    • (1990) Technical Report No. 281 , vol.281
    • Donoho, D.L.1    Johnstone, I.M.2
  • 11
    • 0011243724 scopus 로고    scopus 로고
    • Nonlinear wavelet estimation of time-varying autoregressive processes
    • Dahlhaus, R., Neumann, M.H. and von Sachs, R., 1999, Nonlinear wavelet estimation of time-varying autoregressive processes. Bernoulli, 5, 873-906.
    • (1999) Bernoulli , vol.5 , pp. 873-906
    • Dahlhaus, R.1    Neumann, M.H.2    Von Sachs, R.3
  • 12
    • 0003260218 scopus 로고    scopus 로고
    • Asymptotic statistical inference for nonstationary processes with evolutionary spectra
    • RM. Robinson and M. Rosenblatt, (Eds) (Springer-Verlag)
    • Dahlhaus, R., 1996, Asymptotic statistical inference for nonstationary processes with evolutionary spectra. In: RM. Robinson and M. Rosenblatt, (Eds) Athens Conference on Applied Probability and Time Series Analysis, Vol. II (Springer-Verlag).
    • (1996) Athens Conference on Applied Probability and Time Series Analysis , vol.2
    • Dahlhaus, R.1
  • 13
    • 0000961658 scopus 로고    scopus 로고
    • A local polynomial estimators of the volatility function in nonparametric autoregression
    • Hardie, W. and Tsybakov, A., 1997, A local polynomial estimators of the volatility function in nonparametric autoregression. Journal of Econometrics, 81, 223-242.
    • (1997) Journal of Econometrics , vol.81 , pp. 223-242
    • Hardie, W.1    Tsybakov, A.2
  • 14
    • 0000871211 scopus 로고    scopus 로고
    • Efficient estimation of conditional variance functions in stochastic regression
    • Fan, J. and Yao, Q., 1998, Efficient estimation of conditional variance functions in stochastic regression. Biometrika, 85, 645-660.
    • (1998) Biometrika , vol.85 , pp. 645-660
    • Fan, J.1    Yao, Q.2
  • 15
    • 0036021933 scopus 로고    scopus 로고
    • Nonparametric estimation of volatility functions: The local exponential estimator
    • Ziegelman, F.A., 2000, Nonparametric estimation of volatility functions: The local exponential estimator. Econometric Theory, 18, 985-991.
    • (2000) Econometric Theory , vol.18 , pp. 985-991
    • Ziegelman, F.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.