Arbeitspapier
Wavelet analysis and denoising: New tools for economists
This paper surveys the techniques of wavelets analysis and the associated methods of denoising. The Discrete Wavelet Transform and its undecimated version, the Maximum Overlapping Discrete Wavelet Transform, are described. The methods of wavelets analysis can be used to show how the frequency content of the data varies with time. This allows us to pinpoint in time such events as major structural breaks. The sparse nature of the wavelets representation also facilitates the process of noise reduction by nonlinear wavelet shrinkage, which can be used to reveal the underlying trends in economic data. An application of these techniques to the UK real GDP (1873-2001) is described. The purpose of the analysis is to reveal the true structure of the data - including its local irregularities and abrupt changes - and the results are surprising.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 600
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Semiparametric and Nonparametric Methods: General
Forecasting Models; Simulation Methods
- Thema
-
Wavelets , Denoising , Structural breaks , Trend estimation
Zeitreihenanalyse
Nichtparametrisches Verfahren
Prognoseverfahren
Sozialprodukt
Großbritannien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cascio, Iolanda Lo
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cascio, Iolanda Lo
- Queen Mary University of London, Department of Economics
Entstanden
- 2007
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