| EPSRC Reference: |
GR/T22278/01 |
| Title: |
Model selection & smoothing for locally stationary wavelet time series |
| Principal Investigator: |
Nason, Professor G |
| Other Investigators: |
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| Researcher Co-Investigators: |
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| Project Partners: |
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| Department: |
Mathematics |
| Organisation: |
University of Bristol |
| Scheme: |
Mathematics Small Grant PreFEC |
| Starts: |
01 October 2004 |
Ends: |
31 December 2004 |
Value (£): |
10,103
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| EPSRC Research Topic Classifications: |
| Statistics & Appl. Probability |
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Summary on Grant Application Form |
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The importance of non-stationary time series models and analyses is growing because of the realization that a large number of real time series are not stationary. The collaborators in this project previously developed non-stationary time series models based on wavelets: locally stationary wavelet (LSW) processes. These interesting models have been shown to be useful in several areas such as biomedical time series analysis, power engineering and finance but have extremely wide potential applicability. The proposed research builds on our earlier work and will investigate (i) the consequences of analysing a LSW process using a different wavelet to the one that constructed it (and hence robustness to misspecification) and (ii) how to smooth quadratic forms, in particular arising from LSW spectral estimates.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.bris.ac.uk |