Estimation of Time Varying Linear Systems |
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Authors: | Chiann Chang Morettin Pedro A |
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Institution: | 1.Department of Statistics, University of S?o Paulo, S?o Paulo, Brazil ; |
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Abstract: | Based on kernel and wavelet estimators of the evolutionary spectrum and cross-spectrum we propose nonlinear wavelet estimators
of the time varying coefficients of a linear system, whose input and output are locally stationary processes, in the sense
of Dahlhaus (1997). We obtain large sample properties of these estimators, present some simulated examples and derive results
on the L
2-risk for the wavelet threshold estimators, assuming that the coefficients belong to some smoothness class.
This revised version was published online in June 2006 with corrections to the Cover Date. |
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Keywords: | evolutionary spectrum kernel estimators locally stationary processes time varying linear systems wavelets |
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