swMATH ID: 11198
Software Authors: Fryzlewicz, Piotr; Nason, Guy P.
Description: Haar-Fisz estimation of evolutionary wavelet spectra. We propose a new ‘Haar-Fisz’ technique for estimating the time-varying, piecewise constant local variance of a locally stationary Gaussian time series. We apply our technique to the estimation of the spectral structure in the locally stationary wavelet model. Our method combines Haar wavelets and the variance stabilizing Fisz transform. The resulting estimator is mean square consistent, rapidly computable and easy to implement, and performs well in practice. We also introduce the ‘Haar-Fisz transform’, a device for stabilizing the variance of scaled \(chi^2\)-data and bringing their distribution close to Gaussianity.
Homepage: http://cran.r-project.org/web/packages/haarfisz/index.html
Source Code:  https://github.com/cran/haarfisz
Dependencies: R
Keywords: heteroscedasticity; log-transform; thresholding estimators; wavelet periodogram; wavelet spectrum
Related Software: WaveThresh4; wavethresh; R; wmtsa; BootWPTOS; locits; changepoint; bootlib; Forecast; forecast; LS2W; fractal; astsa; waveclock; Wavos; fda (R); Steerable pyramid; DT-CWT; basta; FreSpeD
Cited in: 18 Publications

Standard Articles

1 Publication describing the Software, including 1 Publication in zbMATH Year
Haar-Fisz estimation of evolutionary wavelet spectra. Zbl 1110.62121
Fryzlewicz, Piotr; Nason, Guy P.

Citations by Year