Triantafyllopoulos, K. and Nason, G.P. (2009) A note on state-space representations of locally stationary wavelet time series. Statistics and Probability Letters, 79 (1). pp. 50-54. ISSN 0167-7152Full text available as:
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.
|Copyright, Publisher and Additional Information:||© 2009 Elsevier. This is an author produced version of a paper subsequently published in Statistics and Probability Letters. Uploaded in accordance with the publisher's self-archiving policy.|
|Institution:||The University of Sheffield|
|Academic Units:||The University of Sheffield > Faculty of Science (Sheffield) > School of Mathematics and Statistics (Sheffield)|
|Depositing User:||Mrs Megan Hobbs|
|Date Deposited:||29 Mar 2010 13:39|
|Last Modified:||30 Jun 2014 22:00|