Wavelet Based Time Series Models with Time-Varying Thresholds
Methodology
2026-05-19 v1
Abstract
This paper develops a threshold model with a time-varying threshold, represented using a wavelet series expansion. The model adequately captures irregular and abrupt variations, as well as smooth changes in the threshold parameter, allowing greater flexibility than Fourier-based approaches. Simulation experiments and real-data applications are used to evaluate the model's performance.
Cite
@article{arxiv.2605.17864,
title = {Wavelet Based Time Series Models with Time-Varying Thresholds},
author = {Rhea Davis and N. Balakrishna},
journal= {arXiv preprint arXiv:2605.17864},
year = {2026}
}