In many cases, multiple time series can be viewed as realizations of the same underlying process and such data usually accumulate in time. The historic time-series data provide important information for our current prediction. In this paper, we extend the traditional state-space model to a...

We propose a new approach to wavelet threshold estimation of spectral densities of stationary time series. Our proposal addresses the problem of heteroscedasticity and non-normality of the (tapered) periodogram. We estimate thresholds for the empirical wavelet coefficients of the periodogram as...