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Methodology: Introduction to Wavelet Analysis

In: An Introduction to Wavelet Theory in Finance A Wavelet Multiscale Approach

Author

Listed:
  • Francis In

    (Monash University, Australia)

  • Sangbae Kim

    (Kyungpook National University, Korea)

Abstract

The following sections are included:IntroductionFourier Analysis and Spectral AnalysisFourier analysisSpectral analysis2Comparison between Fourier transform and wavelet transformWavelet AnalysisContinuous wavelet transformDiscrete wavelet transformMaximal overlap discrete wavelet transformBoundary conditionWavelet Variance, Covariance and CorrelationWavelet varianceWavelet covariance and correlationWavelet cross covariance and correlationLong Memory Estimation Using Wavelet AnalysisDefinitions of long memoryWavelet ordinary least squareApproximate maximum-likelihood estimation of the long memory parameterAnother estimation method of the long memory parameter

Suggested Citation

  • Francis In & Sangbae Kim, 2012. "Methodology: Introduction to Wavelet Analysis," World Scientific Book Chapters, in: An Introduction to Wavelet Theory in Finance A Wavelet Multiscale Approach, chapter 1, pages 1-39, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814397841_0001
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    Cited by:

    1. Clark, Jill K. & Jablonski, Becca B.R., 2022. "Managing across boundaries for coordinated local and regional food system policy," Food Policy, Elsevier, vol. 112(C).

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