%0 Journal Article %1 Nason.Sapatinas2002 %A Nason, Guy P. %A Sapatinas, Theofanis %D 2002 %J Statistics and Computing %K imported %N 1 %P 45--56 %R 10.1023/A:1013168221710 %T Wavelet packet transfer function modelling of nonstationary time series %V 12 %X This article shows how a non-decimated wavelet packet transform (NWPT) can be used to model a response time series, Yt, in terms of an explanatory time series, Xt. The proposed computational technique transforms the explanatory time series into a NWPT representation and then uses standard statistical modelling methods to identify which wavelet packets are useful for modelling the response time series. We exhibit S-Plus functions from the freeware WaveThresh package that implement our methodology.

@article{Nason.Sapatinas2002, abstract = {This article shows how a non-decimated wavelet packet transform (NWPT) can be used to model a response time series, Yt, in terms of an explanatory time series, Xt. The proposed computational technique transforms the explanatory time series into a NWPT representation and then uses standard statistical modelling methods to identify which wavelet packets are useful for modelling the response time series. We exhibit S-Plus functions from the freeware WaveThresh package that implement our methodology.}, added-at = {2011-09-01T13:26:03.000+0200}, author = {Nason, Guy P. and Sapatinas, Theofanis}, biburl = {https://www.bibsonomy.org/bibtex/2dcb1b3975d09c49eff889bf58b4bdb7d/procomun}, doi = {10.1023/A:1013168221710}, file = {Nason.Sapatinas2002.pdf:Nason.Sapatinas2002.pdf:PDF}, interhash = {a870701b1c8810d40b1526edf3e230f3}, intrahash = {dcb1b3975d09c49eff889bf58b4bdb7d}, journal = {Statistics and Computing}, keywords = {imported}, month = jan, number = 1, owner = {oscar}, pages = {45--56}, timestamp = {2011-09-02T08:25:25.000+0200}, title = {Wavelet packet transfer function modelling of nonstationary time series}, volume = 12, year = 2002 }