Wavelets in Econometrics: An Application to Outlier Testing

Seth Greenblatt ()

Econometrics from University Library of Munich, Germany

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)
Pages: 43 pages
Date: 1994-10-19
Note: 43 pages, postscript file.
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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

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