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Wavelet based time-varying vector autoregressive modelling

Sato, Joao R.; Morettin, Pedro A.; Arantes, Paula R.; … - In: Computational Statistics & Data Analysis 51 (2007) 12, pp. 5847-5866

Persistent link: https://www.econbiz.de/10005118424

Wavelet regression with correlated errors on a piecewise Hölder class

Porto, Rogério F.; Morettin, Pedro A.; Aubin, Elisete C.Q. - In: Statistics & Probability Letters 78 (2008) 16, pp. 2739-2743

This paper generalizes the methodology of Cai and Brown [Cai, T., Brown, L.D., 1998. Wavelet shrinkage for nonequispaced samples. The Annals of Statistics 26, 1783-1799] for wavelet shrinkage for nonequispaced samples, but in the presence of correlated stationary Gaussian errors. If the true...

Persistent link: https://www.econbiz.de/10005319711

State space Markov switching models using wavelets

Alencar, Airlane P.; Morettin, Pedro A.; Toloi, Clelia M. C. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10010118262

Wavelet estimation of copulas for time series

Morettin, Pedro A.; Toloi, Clelia M. C.; Chiann, Chang; … - In: Journal of time series econometrics 3 (2011) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010029893

Regression with autocorrelated errors using design-adapted haar wavelets

Porto, Rogério F.; Morettin, Pedro A.; Aubin, Elisete C. Q. - In: Journal of time series econometrics 4 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010029897

State space Markov switching models using wavelets

Alencar, Airlane P.; Morettin, Pedro A.; Toloi, Clelia M. C. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10009739592

Regression with autocorrelated errors using design-adapted haar wavelets

Porto, Rogério F.; Morettin, Pedro A.; Aubin, Elisete C. Q. - In: Journal of time series econometrics 4 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10009623492

Wavelet estimation of copulas for time series

Morettin, Pedro A.; Toloi, Clelia M. C.; Chiann, Chang; … - In: Journal of time series econometrics 3 (2011) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10009623563