Year: 2011
Type: report
Abstract: Economists are already familiar with the Discrete Wavelet Transform. However, a body of work using the Continuous Wavelet Transform has also been growing. We provide a self-contained summary on continuous wavelet tools, such as the Continuous Wavelet Transform, the Cross-Wavelet, the Wavelet Coherency and the Phase-Difference. Furthermore, we generalize the concept of simple coherency to Partial Wavelet Coherency and Multiple Wavelet Coherency, akin to partial and multiple correlations, allowing the researcher to move beyond bivariate analysis. Finally, we describe the Generalized Morse Wavelets, a class of analytic wavelets recently proposed. A user-friendly toolbox, with examples, is attached to this paper.
Authors: Luís Aguiar‐Conraria, Maria Joana Soares
Institution: University of Minho
Language: English
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
Funder: Universidade do Minho
OpenAlex ID: W2151440871