Adaptive covariance estimation of locally stationary processes Export

@article{Mallat98, abstract = {It is shown that the covariance operator of a locally stationary process has approximate eigenvectors that are local cosine functions. We model locally stationary processes with pseudo-differential operators that are time-varying convolutions. An adaptive covariance estimation is calculated by searching first for a "best" local cosine basis which approximates the covariance by a band or a diagonal matrix. The estimation is obtained from regularized versions of the diagonal coefficients in the best basis.}, author = {Mallat, St\'{e}phane and Papanicolaou, George and Zhang, Zhifeng}, citeulike-article-id = {5985351}, citeulike-linkout-0 = {http://dx.doi.org/10.1214/aos/1030563977}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/99f:62116}, doi = {10.1214/aos/1030563977}, journal = {The Annals of Statistics}, keywords = {1998, adaptive\_covariance\_estimation, approximate\_inference, local, stationary\_processes, tesis}, month = {February}, number = {1}, pages = {1--47}, posted-at = {2009-10-22 16:41:16}, priority = {2}, title = {Adaptive covariance estimation of locally stationary processes}, url = {http://dx.doi.org/10.1214/aos/1030563977}, volume = {26}, year = {1998} }

TY - JOUR ID - Mallat98 L3 - citeulike-article-id:5985351 N2 - It is shown that the covariance operator of a locally stationary process has approximate eigenvectors that are local cosine functions. We model locally stationary processes with pseudo-differential operators that are time-varying convolutions. An adaptive covariance estimation is calculated by searching first for a "best" local cosine basis which approximates the covariance by a band or a diagonal matrix. The estimation is obtained from regularized versions of the diagonal coefficients in the best basis. IS - 1 JF - The Annals of Statistics EP - 47 TI - Adaptive covariance estimation of locally stationary processes VL - 26 SP - 1 KW - 1998 KW - adaptive_covariance_estimation KW - approximate_inference KW - local KW - stationary_processes KW - tesis AU - Mallat, Stéphane AU - Papanicolaou, George AU - Zhang, Zhifeng PY - 1998/02// UR - http://dx.doi.org/10.1214/aos/1030563977 ER -