Forecasting non-stationary time series by wavelet process modelling

Piotr Fryzlewicz (), Sébastien Bellegem () and Rainer Sachs ()

Annals of the Institute of Statistical Mathematics, 2003, vol. 55, issue 4, 737-764

Keywords: Local stationarity; non-decimated wavelets; prediction; time-modulated processes; Yule-Walker equations (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (19)

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DOI: 10.1007/BF02523391

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