Wavelets in Econometrics: An Application to Outlier Testing

Seth Greenblatt ()

Econometrics from EconWPA

Abstract: In recent years, wavelets have become widely used in physics, engineering, and mathematics. They have been used for signal processing, image processing, numerical computation, and data compression. Wavelets have not, however, been used very much in the fields of Economics, Econometrics, and Finance. In this study, We will look at the wavelet transform in the context of multiresolution analysis, discuss its uses in other fields, and present an Econometric application of wavelets to outlier detection.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 1994-10-19
Note: 43 pages, postscript file.
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/em/papers/9410/9410001.pdf (application/pdf)
http://129.3.20.41/eps/em/papers/9410/9410001.ps.gz (application/postscript)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:9410001

Access Statistics for this paper

More papers in Econometrics from EconWPA
Series data maintained by EconWPA ().