An Intuitive Guide to Wavelets for Economists
Bank of Finland Research Discussion Paper No. 1/2005
71 Pages Posted: 30 Aug 2005
Date Written: January 2005
Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not yet fully entered the economics discipline. In this discussion paper, wavelet analysis is introduced in an intuitive manner, and the existing economics and finance literature that utilizes wavelets is explored. Extensive examples of exploratory wavelet analysis are given, many using Canadian, US and Finnish industrial production data. Finally, potential future applications for wavelet analysis in economics are also discussed and explored.
Keywords: Statistical methodology, multiresolution analysis, wavelets, business
JEL Classification: C19, C65, C87, E32
Suggested Citation: Suggested Citation