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

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 0167-7152

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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.

Item Type: Article
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.
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: 08 Feb 2013 17:00
Published Version: http://dx.doi.org/10.1016/j.spl.2008.07.015
Status: Published
Publisher: Elsevier
Identification Number: 10.1016/j.spl.2008.07.015
Related URLs:
URI: http://eprints.whiterose.ac.uk/id/eprint/10628

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