## 62M10 Time series, auto-correlation, regression, etc. [See also 91B84]

- Wavelet Thresholding in Anisotropic Function Classes and Application to Adaptive Estimation of Evolutionary Spectra (1997)
- We derive minimax rates for estimation in anisotropic smoothness classes. This rate is attained by a coordinatewise thresholded wavelet estimator based on a tensor product basis with separate scale parameter for every dimension. It is shown that this basis is superior to its one-scale multiresolution analog, if different degrees of smoothness in different directions are present.; As an important application we introduce a new adaptive wavelet estimator of the time-dependent spectrum of a locally stationary time series. Using this model which was resently developed by Dahlhaus, we show that the resulting estimator attains nearly the rate, which is optimal in Gaussian white noise, simultaneously over a wide range of smoothness classes. Moreover, by our new approach we overcome the difficulty of how to choose the right amount of smoothing, i.e. how to adapt to the appropriate resolution, for reconstructing the local structure of the evolutionary spectrum in the time-frequency plane.

- Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes (1999)
- 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.

- Local Smoothing Methods with Regularization in Nonparametric Regression Models (2011)
- Mrázek et al. [14] proposed a unified approach to curve estimation which combines localization and regularization. In this thesis we will use their approach to study some asymptotic properties of local smoothers with regularization. In Particular, we shall discuss the regularized local least squares (RLLS) estimate with correlated errors (more precisely with stationary time series errors), and then based on this approach we will discuss the case when the kernel function is dirac function and compare our smoother with the spline smoother. Finally, we will do some simulation study.