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In the modeling of biological phenomena, in living organisms whether the measurements are of blood pressure, enzyme levels, biomechanical movements or heartbeats, etc., one of the important aspects is time variation in the data. Thus, the recovery of a "smooth" regression or trend function from noisy time-varying sampled data becomes a problem of particular interest. Here we use non-linear wavelet thresholding to estimate a regression or a trend function in the presence of additive noise which, in contrast to most existing models, does not need to be stationary. (Here, nonstationarity means that the spectral behaviour of the noise is allowed to change slowly over time.). We develop a procedure to adapt existing threshold rules to such situations, e.g., that of a time-varying variance in the errors. Moreover, in the model of curve estimation for functions belonging to a Besov class with locally stationary errors, we derive a near-optimal rate for the L2-risk between the unknown function and our soft or hard threshold estimator, which holds in the general case of an error distribution with bounded cumulants. In the case of Gaussian errors, a lower bound on the asymptotic minimax rate in the wavelet coefficient domain is also obtained. Also it is argued that a stronger adaptivity result is possible by the use of a particular location and level dependent threshold obtained by minimizing Stein's unbiased estimate of the risk. In this respect, our work generalizes previous results, which cover the situation of correlated, but stationary errors. A natural application of our approach is the estimation of the trend function of nonstationary time series under the model of local stationarity. The method is illustrated on both an interesting simulated example and a biostatistical data-set, measurements of sheep luteinizing hormone, which exhibits a clear nonstationarity in its variance.

We develop a test for stationarity of a time series against the alternative of a time-changing covariance structure. Using localized versions of the periodogram, we obtain empirical versions of a reasonable notion of a time-varying spectral density. Coefficients w.r.t. a Haar wavelet series expansion of such a time-varying periodogram are a possible indicator whether there is some deviation from covariance stationarity. We propose a test based on the limit distribution of these empirical coefficients.

We consider nonparametric estimation of the coefficients a_i(.), i=1,...,p, on a time-varying autoregressive process. Choosing an orthonormal wavelet basis representation of the functions a_i(.), the empirical wavelet coefficients are derived from the time series data as the solution of a least squares minimization problem. In order to allow the a_i(.) to be functions of inhomogeneous regularity, we apply nonlinear thresholding to the empirical coefficients and obtain locally smoothed estimates of the a_i(.). We show that the resulting estimators attain the usual minimax L_2-rates up to a logarithmic factor, simultaneously in a large scale of Besov classes. The finite-sample behaviour of our procedure is demonstrated by application to two typical simulated examples.