Wavelets in Time Series Analysis
نویسندگان
چکیده
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 speci c 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 identi cation of an evolutionary wavelet spectrum (ews) that quanti es the variation in a time series over a particular scale 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.
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