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Wavelet Techniques In Time Series Analysis With An Application To Space Physics, Agnieszka Jach
Wavelet Techniques In Time Series Analysis With An Application To Space Physics, Agnieszka Jach
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
Several wavelet techniques in the analysis of time series are developed and applied to real data sets.
Methods for long-memory models include wavelet-based confidence intervals for the self-similarity parameter in potentially heavy-tailed observations. Empirical coverage probabilities are used to assess the procedures by applying them to Linear Fractional Stable Motion with many choices of parameters. Asymptotic confidence intervals provide empirical coverage often much lower than nominal and it is recommended to use subsampling confidence intervals. A procedure for monitoring the constancy of the self-similarity parameter is proposed and applied to Ethernet data sets.
A test to distinguish a weakly dependent …