Modelling time-varying first and second-order structure of time series via wavelets and differencing

HIGHLIGHTS

• who: Euan T. McGonigle and collaborators from the Centre for Doctoral Training, Lancaster University, Lancaster, UK have published the paper: Modelling time-varying first and second-order structure of time series via wavelets and differencing, in the Journal: (JOURNAL) of 05,/Oct/2005
• what: This model accounts for nonstationarity in both the first and second-order structure of the time series: the time-varying mean function is encapsulated in the trend term, while the time-varying second-order behaviour is described by the LSW process term. The authors show for the Haar and Shannon wavelet . . .
  

   

  

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