Wavelet Based Time Series Models with Time-Varying Thresholds
Fuente:
arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866909053890854912 |
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| author | Davis, Rhea Balakrishna, N. |
| author_facet | Davis, Rhea Balakrishna, N. |
| contents | 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 well as smooth changes in the threshold parameter, allowing greater flexibility than Fourier-based approaches. Simulation experiments and real-data applications are used to evaluate the model's performance. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_17864 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Wavelet Based Time Series Models with Time-Varying Thresholds Davis, Rhea Balakrishna, N. Methodology 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 well as smooth changes in the threshold parameter, allowing greater flexibility than Fourier-based approaches. Simulation experiments and real-data applications are used to evaluate the model's performance. |
| title | Wavelet Based Time Series Models with Time-Varying Thresholds |
| topic | Methodology |
| url | https://arxiv.org/abs/2605.17864 |