A note on state-space representations of locally stationary wavelet time series

Kostas Triantafyllopoulos, Guy P Nason

Research output: Contribution to journalArticle (Academic Journal)peer-review

2 Citations (Scopus)

Abstract

In this note we show that the locally stationary wavelet process can be decomposed into a sum of signals, each of which follows a moving average process with time-varying parameters. We then show that such moving average processes are equivalent to state space models with stochastic design components. Using a simple simulation step, we propose a heuristic method of estimating the above state space models and then we apply the methodology to foreign exchange rates data.
Original languageEnglish
Pages (from-to)50 - 54
Number of pages4
JournalStatistics and Probability Letters
Volume79
Issue number1
Early online date26 Jul 2008
DOIs
Publication statusPublished - 1 Jan 2009

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