haarfisz 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 1110.62121Fryzlewicz, Piotr; Nason, Guy P. 2006 all top 5 Cited by 28 Authors 7 Nason, Guy P. 5 Fryzlewicz, Piotr 3 Killick, Rebecca 2 Cardinali, Alessandro 2 Eckley, Idris A. 2 Knight, Marina I. 2 Nunes, Matthew A. 2 von Sachs, Rainer 1 Barigozzi, Matteo 1 Chawla, Sangeeta 1 Cho, Haeran 1 Davis, Seth J. 1 Gibberd, A. J. 1 Hargreaves, Jessica K. 1 Jonathan, Philip 1 Kingsbury, Nick G. 1 McGonigle, Euan T. 1 Michis, Antonis A. 1 Munns, Jack 1 Nafornita, C. 1 Nelson, James D. B. 1 Norwood, Ben 1 Oakenfull, Rachael J. 1 Pitchford, Jonathan William 1 Schmidt, Thorsten 1 Van Bellegem, Sébastien 1 Xu, Ling 1 Zhou, Zhou all top 5 Cited in 12 Serials 3 Electronic Journal of Statistics 3 Statistics and Computing 2 Biometrika 2 Journal of Time Series Analysis 1 The Annals of Statistics 1 Journal of Econometrics 1 Zeitschrift für Analysis und ihre Anwendungen 1 Applied and Computational Harmonic Analysis 1 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 Journal of Applied Statistics 1 The Annals of Applied Statistics 1 Journal of Time Series Econometrics all top 5 Cited in 6 Fields 18 Statistics (62-XX) 8 Harmonic analysis on Euclidean spaces (42-XX) 4 Numerical analysis (65-XX) 2 Probability theory and stochastic processes (60-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 Biology and other natural sciences (92-XX) Citations by Year