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A wavelet analysis for time series
Authors:
Chang Chiann a;
Pedro A. Morettin a
| Affiliation: | a Department of Statistics, University of S o Paulo, So Paulo, SP, Brazil |
DOI:
10.1080/10485259808832752
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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(English)
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Abstract
In this paper we develop a wavelet spectral analysis for a stationary discrete process. Some basic ideas on wavelets are given and the concept of wavelet spectrum is introduced. Asymptotic properties of the discrete wavelet transform of a sample of observed values from the process are derived and the wavelet periodogram is considered as an estimator of the wavelet spectrum. Applications to real and simulated series are given.
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| Keywords: Time series; wavelets; wavelet periodogram; wavelet spectrum; wavelet transform |
| view references (43) : view citations |
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