An Intuitive Guide to Wavelets for Economists
- 1 January 2005
- preprint
- Published by Elsevier BV in SSRN Electronic Journal
Abstract
Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not yet fully entered the economics discipline. In this discussion paper, wavelet analysis is introduced in an intuitive manner, and the existing economics and finance literature that utilizes wavelets is explored. Extensive examples of exploratory wavelet analysis are given, many using Canadian, US and Finnish industrial production data. Finally, potential future applications for wavelet analysis in economics are also discussed and explored.This publication has 37 references indexed in Scilit:
- MULTIVARIATE SPECTRAL ANALYSIS USING HILBERT WAVELET PAIRSInternational Journal of Wavelets, Multiresolution and Information Processing, 2004
- Multiscale Analysis of Stock Index Return VolatilityComputational Economics, 2004
- The Illustrated Wavelet Transform HandbookPublished by Taylor & Francis Ltd ,2002
- Inertial range determination for aerothermal turbulence using fractionally differenced processes and waveletsPhysical Review E, 2001
- Spectral and persistence properties of cyclical growthJournal of Economic Dynamics and Control, 1998
- A wavelet analysis for time seriesJournal of Nonparametric Statistics, 1998
- WaveShrink: shrinkage functions and thresholdsPublished by SPIE-Intl Soc Optical Eng ,1995
- Signal processing and compression with wavelet packetsPublished by Springer Science and Business Media LLC ,1994
- Biorthogonal bases of compactly supported waveletsCommunications on Pure and Applied Mathematics, 1992
- Entropy-based algorithms for best basis selectionIEEE Transactions on Information Theory, 1992