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In recent years there has been a considerable development in the use of wavelet methods in statistics. As a result, we are now at the stage where it is reasonable to consider such methods to be another standard tool of the applied statistician rather than a research novelty. With that in mind, this paper gives a relatively accessible introduction to… (More)

- Anestis Antoniadis, Theofanis Sapatinas
- Computational Statistics & Data Analysis
- 2007

We consider Bayesian approach to wavelet decomposition. We show how prior knowledge about a function's regularity can be incorporated into a prior model for its wavelet coeecients by establishing a relationship between the hyperparameters of the proposed model and the parameters of those Besov spaces within which realizations from the prior will fall. Such… (More)

Wavelet methods have demonstrated considerable success in function estimation through term-by-term thresholding of the empirical wavelet coefficients. However, it has been shown that grouping the empirical wavelet coefficients into blocks and making simultaneous threshold decisions about all the coefficients in each block has a number of advantages over… (More)

We consider the prediction problem of a continuous-time stochastic process on an entire time-interval in terms of its recent past. The approach we adopt is based on the notion of autoregressive Hilbert processes that represent a generalization of the classical autoregressive processes to random variables with values in a Hilbert space. A careful analysis… (More)

This paper considers the use of wavelet methods in relation to a common signal processing problem, that of detecting transient features in sound recordings which contain interference or distortion. In this particular case, the data are various types of underwater sounds, and the objective is to detect intermittent departures (potentiaìsignals') from the… (More)

We consider the testing problem in a fixed-effects functional analysis of variance model. We test the null hypotheses that the functional main effects and the functional interactions are zeros against the composite nonparametric alternative hypotheses that they are separated away from zero in L2-norm and also possess some smoothness properties. We adapt the… (More)

We extend deconvolution in a periodic setting to deal with functional data. The resulting functional deconvolution model can be viewed as a generalization of a multitude of inverse problems in mathematical physics where one needs to recover initial or boundary conditions on the basis of observations from a noisy solution of a partial differential equation.… (More)

We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants the further study of parameter estimation methods for the model. Since the parameters are changing over time, a successful estimator… (More)

- B PIOTR FRYZLEWICZ, THEOFANIS SAPATINAS
- 2006

We consider a locally stationary model for financial log-returns whereby the returns are independent and the volatility is a piecewise-constant function with jumps of an unknown number and locations, defined on a compact interval to enable a meaningful estimation theory. We demonstrate that the model explains well the common characteristics of logreturns.… (More)