The Continuous Wavelet Transform: Moving Beyond Uni‐ and Bivariate Analysis

32 Pages Posted: 13 Mar 2014

Date Written: April 2014

Abstract

A body of work using the continuous wavelet transform has been growing. We provide a self‐contained summary on its most relevant theoretical results, describe how such transforms can be implemented in practice, and generalize the concept of simple coherency to partial wavelet coherency and multiple wavelet coherency, moving beyond bivariate analysis. We also describe a family of wavelets, which emerges as an alternative to the popular Morlet wavelet, the generalized Morse wavelets. A user‐friendly toolbox, with examples, is attached to this paper.

Keywords: Continuous wavelet transform, Economic fluctuations, Multiple wavelet coherency, Partial wavelet coherency, Wavelet coherency, Wavelet partial phase‐difference

Suggested Citation

Aguiar‐Conraria, Luís and Soares, Maria Joana, The Continuous Wavelet Transform: Moving Beyond Uni‐ and Bivariate Analysis (April 2014). Journal of Economic Surveys, Vol. 28, Issue 2, pp. 344-375, 2014, Available at SSRN: https://ssrn.com/abstract=2408827 or http://dx.doi.org/10.1111/joes.12012

Luís Aguiar‐Conraria (Contact Author)

University of Minho

No Address Available

Maria Joana Soares

University of Minho

No Address Available

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