On Locally Dyadic Stationary Processes
Statistics Theory
2016-11-08 v3 Statistics Theory
Abstract
We introduce the concept of local dyadic stationarity, to account for non-stationary time series, within the framework of Walsh-Fourier analysis. We define and study the time varying dyadic ARMA models (tvDARMA). It is proven that the general tvDARMA process can be approximated locally by either a tvDMA and a tvDAR process.
Keywords
Cite
@article{arxiv.1504.06185,
title = {On Locally Dyadic Stationary Processes},
author = {Theodoros Moysiadis and Konstantinos Fokianos},
journal= {arXiv preprint arXiv:1504.06185},
year = {2016}
}
Comments
27 pages, 2 figures