The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Wavelets

  • James B. Ramsey
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2428

Abstract

Wavelets provide a flexible basis for representing a signal that can be regarded as a generalization of Fourier analysis to non-stationary processes, or as a filter bank that can represent complex functions that might include abrupt changes in functional form, or signals with time varying frequency and amplitude. Of greatest import for economic analysis is the orthogonal deconstruction of a signal into time scale components that allow economic relationships to be analysed time scale by time scale and then re-synthesized.

Keywords

Capital asset pricing model Denoising Discrete wavelet transform Filter banks Forecasting Fourier analysis Fourier transforms Heisenberg uncertainty principle Multiresolution analysis Projection pursuit Regime shifts Serial correlation Shrinkage Threshold models Waveform dictionaries Wavelet packets Wavelets 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • James B. Ramsey
    • 1
  1. 1.