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Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum

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  • G. P. Nason
  • R. Von Sachs
  • G. Kroisandt

Abstract

This paper defines and studies a new class of non‐stationary random processes constructed from discrete non‐decimated wavelets which generalizes the Cramér (Fourier) representation of stationary time series. We define an evolutionary wavelet spectrum (EWS) which quantifies how process power varies locally over time and scale. We show how the EWS may be rigorously estimated by a smoothed wavelet periodogram and how both these quantities may be inverted to provide an estimable time‐localized autocovariance. We illustrate our theory with a pedagogical example based on discrete non‐decimated Haar wavelets and also a real medical time series example.

Suggested Citation

  • G. P. Nason & R. Von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 271-292.
    • Handle: RePEc:bla:jorssb:v:62:y:2000:i:2:p:271-292
    DOI: 10.1111/1467-9868.00231
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