A wavelet-Fisz approach to spectrum estimation
نویسندگان
چکیده
منابع مشابه
A Wavelet-fisz Approach to Spectrum Estimation
We propose a new approach to wavelet threshold estimation of spectral densities of stationary time series. Our proposal addresses the problem of heteroscedasticity and non-normality of the (tapered) periodogram. We estimate thresholds for the empirical wavelet coefficients of the periodogram as appropriate linear combinations of the periodogram values similar to empirical scaling coefficients. ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2008
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2008.00586.x