Using wavelets for data smoothing: a simulation study

被引：16

作者：

Horgan, GW ^{[1
]}

机构：

[1] Biomath & Stat Scotland, Rowett Res Inst, Aberdeen AB21 9SB, Scotland

来源：

JOURNAL OF APPLIED STATISTICS | 1999年 / 26卷 / 08期

关键词：

D O I：

10.1080/02664769921936

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Wavelet shrinkage has been proposed as a highly adaptable approach to signal smoothing, which can produce optimum results in some senses. This paper examines the performance of the method as a function of its parameters, by simulation for time series showing gradual, rapid and discontinuous variations, for a range of signal-to-noise ratios. Some general conclusions are drawn. The effects of the choice of wavelet, choice of threshold and choice of resolution cut-off are considered. The use of the residual autocorrelation as a diagnostic tool is suggested.

引用

页码：923 / 932

页数：10

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