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Haar-Fisz estimation of evolutionary wavelet spectra

Fryzlewicz, Piotr and Nason, Guy P. (2006) Haar-Fisz estimation of evolutionary wavelet spectra. Journal of the Royal Statistical Society: Series B, 68 (4). pp. 611-634. ISSN 1369-7412

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Abstract

We propose a new 'Haar–Fisz' technique for estimating the time-varying, piecewise constant local variance of a locally stationary Gaussian time series. We apply our technique to the estimation of the spectral structure in the locally stationary wavelet model. Our method combines Haar wavelets and the variance stabilizing Fisz transform. The resulting estimator is mean square consistent, rapidly computable and easy to implement, and performs well in practice. We also introduce the 'Haar–Fisz transform', a device for stabilizing the variance of scaled χ2-data and bringing their distribution close to Gaussianity.

Item Type: Article
Official URL: http://www.wiley.com/bw/journal.asp?ref=1369-7412
Additional Information: © 2006 The Royal Statistical Society
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 18 Sep 2009 15:10
URL: http://eprints.lse.ac.uk/25227/

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