This page accompanies the PhD thesis "Wavelet Techniques for Time Series and Poisson Data" by Piotr Z. Fryzlewicz. The S-Plus routines written for Chapters 3-6, as well as the data sets analysed in them, are available below. Click on the relevant chapter title to access the software.

Chapter 3 - Forecasting LSW processes Chapter 4 - Modelling financial log-return series using wavelets and rescaled time Chapter 5 - Denoising the wavelet periodogram using the Haar-Fisz variance stabilising transform Chapter 6 - A Haar-Fisz algorithm for Poisson intensity estimation

The reference for the thesis is: Fryzlewicz, P. Z. (2003) Wavelet techniques for time series and Poisson data. Ph.D. thesis, University of Bristol.