Wavelets in Time Series Analysis

G.P. Nason and R. von Sachs

Working Papers from Catholique de Louvain - Institut de statistique

Abstract: This article reviews the role of wavelets in statistical time series analysis. We survey work that emphasises scale such as estimation of variance and the scale exponent of a process with a specific scale behaviour such as 1/f processes. We present some of our own work on locally stationary wavelet (LSW) processes which model both stationary and some kinds of non-stationary processes. Analysis of time series assuming the LSW model permits identification of an evolutionary wavelet spectrum (EWS) that quantifies the variation in a time series over a particualr state and at a particular time. We address estimation of the EWS and show how our methodology reveals phenomena of interest in an infant electrocardiogram series.

Keywords: TIME SERIES; STATISTICAL ANALYSIS; ESTIMATION OF PARAMETERS (search for similar items in EconPapers)
JEL-codes: C20 C22 (search for similar items in EconPapers)
Pages: 16 pages
Date: 1999
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:louvis:9901

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