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Persistent link: https://www.econbiz.de/10010568307
We propose a new 'Haar-Fisz' technique for estimating the time-varying, piecewise constant local variance of a locally stationary Gaussian time series. We apply our technique to the estimation of the spectral structure in the locally stationary wavelet model. Our method combines Haar wavelets...
Persistent link: https://www.econbiz.de/10005193973