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stat.ME2026
Wavelet Based Time Series Models with Time-Varying Thresholds
Rhea Davis, N. Balakrishna
This paper develops a threshold model with a time-varying threshold, represented using a wavelet series expansion. The model adequately captures irregular and abrupt variations, as…
stat.ME2025
Parsimonious Modeling of Periodic Time Series Using Fourier and Wavelet Techniques
Rhea Davis, N. Balakrishna
This paper proposes Fourier-based and wavelet-based techniques for analyzing periodic financial time series. Conventional models such as the periodic autoregressive conditional het…
stat.ME2024
Wavelet Based Periodic Autoregressive Moving Average Models
Rhea Davis, N. Balakrishna
This paper proposes a wavelet-based method for analysing periodic autoregressive moving average (PARMA) time series. Even though Fourier analysis provides an effective method for a…