THE CONTINUOUS WAVELET TRANSFORM: MOVING BEYOND UNI- AND BIVARIATE ANALYSIS

Luís Aguiar-Conraria () and Maria Joana Soares

Journal of Economic Surveys, 2014, vol. 28, issue 2, 344-375

Abstract: A body of work using the continuous wavelet transform has been growing. We provide a self-contained summary on its most relevant theoretical results, describe how such transforms can be implemented in practice, and generalize the concept of simple coherency to partial wavelet coherency and multiple wavelet coherency, moving beyond bivariate analysis. We also describe a family of wavelets, which emerges as an alternative to the popular Morlet wavelet, the generalized Morse wavelets. A user-friendly toolbox, with examples, is attached to this paper.

Date: 2014
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