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An introduction to wavelets and other filtering methods in finance and economics. (English) Zbl 1068.42029
San Diego, CA: Academic Press (ISBN 0-12-279670-5/hbk). xxii, 359 p. (2002).
Publisher’s description: “An introduction to wavelets and other filtering methods in finance and economics” presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method.

MSC:
42C40 Nontrigonometric harmonic analysis involving wavelets and other special systems
60G35 Signal detection and filtering (aspects of stochastic processes)
62M20 Inference from stochastic processes and prediction
91-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
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