Arbeitspapier
How do you make a time series sing like a choir? Using the Hilbert-Huang transform to extract embedded frequencies from economic or financial time series
The Hilbert-Huang transform (HHT) was developed late last century but has still to be introduced to the vast majority of economists. The HHT transform is a way of extracting the frequency mode features of cycles embedded in any time series using an adaptive data method that can be applied without making any assumptions about stationarity or linear data-generating properties. This paper introduces economists to the two constituent parts of the HHT transform, namely empirical mode decomposition (EMD) and Hilbert spectral analysis. Illustrative applications using HHT are also made to two financial and three economic time series.
- ISBN
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978-952-462-553-1
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Research Discussion Papers ; No. 32/2009
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Crowley, Patrick M.
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
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2009
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Crowley, Patrick M.
- Bank of Finland
Time of origin
- 2009
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