Time series regression models with locally stationary disturbance
Sign Up to like & getrecommendations! Published in 2017 at "Statistical Inference for Stochastic Processes"
DOI: 10.1007/s11203-017-9155-7
Abstract: Time series linear regression models with stationary residuals are a well studied topic, and have been widely applied in a number of fields. However, the stationarity assumption on the residuals seems to be restrictive. The… read more here.
Keywords: time series; regression models; time; locally stationary ... See more keywords
Multivariate locally stationary 2D wavelet processes with application to colour texture analysis
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DOI: 10.1007/s11222-016-9675-9
Abstract: In this article we propose a novel framework for the modelling of non-stationary multivariate lattice processes. Our approach extends the locally stationary wavelet paradigm into the multivariate two-dimensional setting. As such the framework we develop… read more here.
Keywords: multivariate locally; colour; multivariate; locally stationary ... See more keywords
Homogenization of an advection equation with locally stationary random coefficients
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DOI: 10.1016/j.jde.2019.03.002
Abstract: Abstract In the paper we consider the solution of an advection equation with rapidly changing coefficients ∂ t u e + ( 1 / e ) V ( t / e 2 , x /… read more here.
Keywords: homogenization advection; equation; equation locally; advection equation ... See more keywords
Statistical inference of locally stationary functional coefficient models
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Statistical Planning and Inference"
DOI: 10.1016/j.jspi.2020.02.006
Abstract: Abstract In this paper, we propose a novel functional coefficient model, useful for direct modeling of nonstationary time series data without needing to detrend the original data. The proposed model could reveal the underlying dynamics… read more here.
Keywords: locally stationary; coefficient; inference locally; functional coefficient ... See more keywords
Time varying long memory parameter estimation for locally stationary long memory processes
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2018.1472777
Abstract: Abstract The semiparametric estimators of time varying long memory parameter are investigated for locally stationary long memory processes. The GPH estimator and the local Whittle estimator are considered. Under some mild regularity assumptions, the weak… read more here.
Keywords: time varying; memory parameter; locally stationary; long memory ... See more keywords
Extrema of rescaled locally stationary Gaussian fields on manifolds
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DOI: 10.3150/16-bej913
Abstract: Given a class of centered Gaussian random fields $\{X_{h}(s),s\in\mathbb{R}^{n},h\in(0,1]\}$, define the rescaled fields $\{Z_{h}(t)=X_{h}(h^{-1}t),t\in\mathcal{M}\}$, where $\mathcal{M}$ is a compact Riemannian manifold. Under the assumption that the fields $Z_{h}(t)$ satisfy a local stationary condition, we study… read more here.
Keywords: extrema rescaled; stationary gaussian; locally stationary; rescaled locally ... See more keywords