Automatically assigned DDC number: 519542

Manually assigned DDC number: 5152433

Number of references: 29

Title: Statistical Modelling of Time Series Using Non-Decimated Wavelet Representations

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Subject: G. P. Nason,T. Sapatinas,A. Sawczenko Statistical Modelling of Time Series Using Non-Decimated Wavelet Representations

Description: This article proposes the use of time-ordered non-decimated wavelet or nondecimated wavelet packet transforms to provide flexible representations of a time series (explanatory). The resulting representations are then used as variables in a statistical model to provide predictions of another (response) time series. The statistical model provides valuable information about which components in the explanatory time series drive the response time series. To represent our explanatory time series we use a collection of basis functions known as wavelet packets. Each wavelet packet component of the exploratory time series corresponds to a particular linear combination of the time series and its lagged versions (regressive models). The construction of the wavelet packet transform ensures that all possible regressive models on a grid are rapidly computed. Hence our model fully explores "model-space" which may be parametrised in terms of the time-frequency plane. Our modelling methodology is illus...

Contributor: The Pennsylvania State University CiteSeer Archives

Publisher: unknown

Date: 1998-08-25

Pubyear: 1998

Format: ps

Identifier: http://citeseer.ist.psu.edu/51846.html

Source: http://stork.ukc.ac.uk/IMS/statistics/people/T.Sapatinas/links/packets.ps.gz

Language: en

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