Some applications of wavelets to time series data
Jeong, Jae Sik
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The objective of this dissertation is to develop a suitable statistical methodology for parameter estimation in long memory process. Time series data with complex covariance structure are shown up in various fields such as finance, computer network, and econometrics. Many researchers suggested the various methodologies defined in different domains: frequency domain and time domain. However, many traditional statistical methods are not working well in complicated case, for example, nonstationary process. The development of the robust methodologies against nonstationarity is the main focus of my dissertation. We suggest a wavelet-based Bayesian method which shares good properties coming from both wavelet-based method and Bayesian approach. To check the robustness of the method, we consider ARFIMA(0, d, 0) with linear trend. Also, we compare the result of the method with that of several existing methods, which are defined in different domains, i.e. time domain estimators, frequency domain estimators. Also, we apply the method to functional magnetic resonance imaging (fMRI) data to find some connection between brain activity and long memory parameter. Another objective of this dissertation is to develop a wavelet-based denoising technique when there is heterogeneous variance noise in high throughput data, especially protein mass spectrometry data. Since denoising technique pretty much depends on threshold value, it is very important to get a proper threshold value which involves estimate of standard deviation. To this end, we detect variance change point first and get suitable threshold values in each segment. After that, we apply local wavelet thresholding to each segment, respectively. For comparison, we consider several existing global thresholding methods.