Nonlinear wavelet estimation of time- varying autoregressive processes
نویسنده
چکیده
R A I N E R DA H L H AU S , 1 M I C H A E L H . N E U M A N N 2 and RAINER VON SACHS 3 Institut fuÈ r Angewandte Mathematik, UniversitaÈ t Heidelberg, Im Neuenheimer Feld 294, D-69120 Heidelberg, Germany. E-mail: [email protected] SFB 373, Humboldt-UniversitaÈ t zu Berlin, Spandauer Strasse 1, D-10178 Berlin, Germany. E-mail: [email protected] Institut de Statistique, Universite Catholique de Louvain, Voie du Roman Pays 20, B-1348 Louvain-la-Neuve, Belgium. E-mail: [email protected]
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Nonlinear Wavelet Estimation of Time-varying Autoregressive Processes
We consider nonparametric estimation of the parameter functions a i () , i = 1; : : : ; p , of a time-varying autoregressive process. Choosing an orthonormal wavelet basis representation of the functions a i , the empirical wavelet coeecients are derived from the time series data as the solution of a least squares minimization problem. In order to allow the a i to be functions of inhomogeneous ...
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