Wavelet vs. Spectral Analysis of an Economic Process

• Autorzy: Joanna Bruzda
• Języki publikacji: EN

Abstrakty

EN

Wavelet analysis can be treated as frequency-domain analysis for nonstationary and non-linear processes providing insight into the dynamics of economic time series beyond that of current methodology. This kind of time series techniques is capable of revealing such aspects of data like breakdown points, discontinuities or self-similarity and becomes a tool for the analysis of processes with transient characteristics, which are results of changing parameters or non-linearity of underlying mechanisms. The wavelet decomposition is a kind of filtration, which decomposes a time series according to different scales and makes it possible to analyse the series individually and compare with other series. Decomposing a time series into different scales may reveal details that can be interpreted on theoretical grounds as well as be used to improve forecasting accuracy.(fragment of text)

Słowa kluczowe

EN

Wavelet analysis; Spectral analysis; Economic process modeling; Economic process

PL

Analiza falkowa; Analiza widmowa; Modelowanie procesów gospodarczych; Procesy gospodarcze

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 183--194

Twórcy

autor

Joanna Bruzda

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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