Fryzlewicz, Piotr; van Bellegem, Sébastien; von Sachs, … - London School of Economics (LSE) - 2003
Many time series in the applied sciences display a time-varying second order structure. In this article, we address the problem of how to forecast these nonstationary time series by means of non-decimated wavelets. Using the class of Locally Stationary Wavelet processes, we introduce a new...