A wavelet analysis for time series
- 1 January 1998
- journal article
- research article
- Published by Taylor & Francis Ltd in Journal of Nonparametric Statistics
- Vol. 10 (1), 1-46
- https://doi.org/10.1080/10485259808832752
Abstract
In this paper we develop a wavelet spectral analysis for a stationary discrete process. Some basic ideas on wavelets are given and the concept of wavelet spectrum is introduced. Asymptotic properties of the discrete wavelet transform of a sample of observed values from the process are derived and the wavelet periodogram is considered as an estimator of the wavelet spectrum. Applications to real and simulated series are given.Keywords
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