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A test for local white noise (and the absence of aliasing) in locally stationary wavelet time series

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Multi angle
Authors : Nason, Guy (Author of the conference)
CIRM (Publisher )

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Abstract : This talk develops a new test for local white noise which also doubles as a test for the lack of aliasing in a locally stationary wavelet process. We compare and contrast our new test with the aliasing test for stationary time series due to Hinich and co-authors. We show that the test is robust to mismatch of analysis and synthesis wavelet. We demonstrate the effectiveness of the test on some simulated examples and on an example from wind energy.

MSC Codes :
42C40 - Wavelets and other special systems
60G10 - Stationary processes
62M10 - Time series, auto-correlation, regression, etc.
62M15 - Spectral analysis of processes

    Information on the Video

    Film maker : Hennenfent, Guillaume
    Language : English
    Available date : 02/03/16
    Conference Date : 18/02/16
    Subseries : Research talks
    arXiv category : Methodology ; Statistics Theory
    Mathematical Area(s) : Probability & Statistics
    Format : MP4 (.mp4) - HD
    Video Time : 00:39:09
    Targeted Audience : Researchers
    Download : https://videos.cirm-math.fr/2016-02-18_Nason.mp4

Information on the Event

Event Title : Thematic month on statistics - Week 3: Processus / Mois thématique sur les statistiques - Semaine 3 : Processus
Event Organizers : Boutahar, Mohamed ; Reboul, Laurence
Dates : 15/02/16 - 19/02/16
Event Year : 2016
Event URL : http://conferences.cirm-math.fr/1617.html

Citation Data

DOI : 10.24350/CIRM.V.18932103
Cite this video as: Nason, Guy (2016). A test for local white noise (and the absence of aliasing) in locally stationary wavelet time series. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.18932103
URI : http://dx.doi.org/10.24350/CIRM.V.18932103

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