Nonparametric Wavelet Methods for Nonstationary Time Series

Abstract

This article gives an overview on nonparametric modelling of nonstationary time series and estimation of their time-changing spectral content by modern denoising (smoothing) methods. For the modelling aspect localized decompositions such as various local Fourier (spectral) representations are discussed, among which wavelet and local cosine bases are most… (More)

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