Wavelet Methods in Statistics with R

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Using wavelets for time series forecasting: Does it pay off? (2010, background): “These indicate how much of St is described by a scaled and translated wavelet Ψa,b. Nason (2008) shows that per definition the noise term has impact on each coefficient, whereas the information of Yt is concentrated only in a few coefficients.”
A test for second‐order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series (2013, methodology): “arity and the CIs can be found in Nason (2012) along with instructions on how to reproduce the figures in this paper.”