The wavelet detection of hidden periodicities in time series
A wavelet method is applied to the detection of the hidden periodicities of a hidden periodic model in time series. By checking the empirical wavelet coefficients of the periodogram, which have significantly large absolute values across fine scale levels, the number of the hidden periodicities in the model is identified. Estimators of the hidden periodicities are given, and shown to be strongly consistent.
Year of publication: |
1997
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Authors: | Li, Yuan ; Xie, Zhongjie |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 35.1997, 1, p. 9-23
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Publisher: |
Elsevier |
Subject: | Hidden periodic model Periodogram Wavelets |
Saved in:
Online Resource
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