Multiscale and multilevel technique for consistent segmentation of nonstationary time series
نویسندگان
چکیده
منابع مشابه
Multiscale and multilevel technique for consistent segmentation of nonstationary time series
In this paper, we propose a fast, well-performing, and consistent method for segmenting a piecewise-stationary, linear time series with an unknown number of breakpoints. The time series model we use is the nonparametric Locally Stationary Wavelet model, in which a complete description of the piecewise-stationary second-order structure is provided by wavelet periodograms computed at multiple sca...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2012
ISSN: 1017-0405
DOI: 10.5705/ss.2009.280