Wavelet variable screening - time series analysis.

• Grant number: 25/21217-5
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: October 01, 2025
• End date: January 08, 2026
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Statistics
• Principal Investigator: Aluísio de Souza Pinheiro
• Grantee: André Santos Silva
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 23/02538-0 - Time series, wavelets, high dimensional data and applications, AP.TEM

Abstract

Variable screening is a well-known method for high-dimensional data. Wavelet procedures may be employed here with the aim of identifying highly non-linear relevant relationships. Notwithstanding its importance, screening methods are seldomly studied for dependent data. Thence we focus here in waveelt screening for time series data.