Triantafyllopoulos, K.; Nason, G.P. - In: Statistics & Probability Letters 79 (2009) 1, pp. 50-54
In this note we show that the locally stationary wavelet process can be decomposed into a sum of signals, each of which follows a moving average process with time-varying parameters. We then show that such moving average processes are equivalent to state space models with stochastic design...