The Continuous Wavelet Transform: A Primer

Luís Aguiar-Conraria () and Maria Joana Soares ()
Additional contact information
Maria Joana Soares: Universidade do Minho - Departamento de Matemática, http://www.math.uminho.pt

No 16/2011, NIPE Working Papers from NIPE - Universidade do Minho

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.

Keywords: Continuous Wavelet Transform, Cross-Wavelet Transform, Wavelet Coherency, Partial Wavelet Coherency, Multiple Wavelet Coherency, Wavelet Phase-Difference; Economic fluctuations (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (54)

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http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_16_2011.pdf (application/pdf)

Related works:
Working Paper: The Continuous Wavelet Transform: A Primer (2010)
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