On discriminating between long-range dependence and changes in mean
نویسندگان
چکیده
منابع مشابه
Long Range Dependence, Unbalanced Haar Wavelet Transformation and Changes in Local Mean Level
Long range dependent (LRD), stationary time series have historically served to model real time series with apparent changes in local mean level. A natural tool to study changes in local mean level is unbalanced Haar wavelet transformation (UHT). In this work, UHT is used to study changes in local mean level in LRD models and several real and simulated time series exhibiting LRD. In particular, ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2006
ISSN: 0090-5364
DOI: 10.1214/009053606000000254