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   -> Volume 3, Issue 4


Question: Wavelets compared with spectral analysis of time series
 
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Esben Hoeg, eh@hdc.hha.dk
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PostPosted: Mon Dec 02, 2002 12:50 pm    
Subject: Question: Wavelets compared with spectral analysis of time series
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Question: Wavelets compared with spectral analysis of time series

Question: Wavelets compared with spectral analysis of statistical time series

Currently I am working with *time-dependent* spectra (for
non-stationary time series). Especially the notions of
evolutionary spectra (cf. Pristley's books on the statistical
analysis of time series and spectral analysis, 1981 and 1988),
and Tjostheims definition of a time-dependent spectrum
for purely non-deterministic series.

Could anybody give references on the relation to wavelets?

In particular the use of wavelets to describe the correspondence
between "wavelet spectrum" and autocovariance, and
the use of wavelets to estimate some sort of
wavelet-power-spectrum for *discrete* non-stationary
stochastic processes.

Are the spline wavelets of Chui, or the Daubechies wavelets
compeletly irrelevant in that respect?

Thank you in advance,

Esben Hoeg
eh@hdc.hha.dk

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