Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/12398

TitleThe continuous wavelet transform : a primer
Author(s)Conraria, Luís Aguiar
Soares, M. J.
KeywordsContinuous wavelet transform
Economic fluctuations
Cross-wavelet transform
Wavelet coherency
Partial wavelet coherency,
Multiple wavelet coherency
Wavelet phase-differenc
Issue dateMay-2011
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Citation“NIPE Working Paper”. 16 (2011) 1-43.
Abstract(s)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.
TypeWorking paper
URIhttp://hdl.handle.net/1822/12398
Publisher versionhttp://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_16_2011.pdf
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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