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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics Book

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 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 th, An Introduction to Wavelets and Other Filtering Methods in Finance and Economics has a rating of 3.5 stars
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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 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 th, An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
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  • An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
  • Written by author Ramazan Gencay
  • Published by Elsevier Science, September 2001
  • 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 th
  • "The authors present, in a simple fashion, a new class of filters that greatly expands on those previously available, allowing greater flexibility and generating models with time-varying specifications. The book considers familiar techniques and shows how
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Book Categories

Authors

Dedication
Acknowledgments
Preface
1Introduction
2Linear Filters
Filters in Time Domain16
Filters in the Frequency Domain25
Filters in Practice39
3Optimum Linear Estimation
The Wiener Filter and Estimation54
Recursive Filtering and the Kalman Filter63
Prediction with the Kalman Filter71
Vector Kalman Filter Estimation74
Applications80
4Discrete Wavelet Transforms
Properties of the Wavelet Transform101
Discrete Wavelet Filters106
The Discrete Wavelet Transform117
The Maximal Overlap Discrete Wavelet Transform134
Practical Issues in Implementation143
Applications146
5Wavelets and Stationary Processes
Wavelets and Long-Memory Processes162
Generalizations of the DWT and MODWT176
Wavelets and Seasonal Long Memory183
Applications194
6Wavelet Denoising
Nonlinear Denoising via Thresholding207
Threshold Selection212
Implementing Wavelet Denoising224
Applications227
7Wavelets for Variance-Covariance Estimation
The Wavelet Variance238
Testing Homogeneity of Variance246
The Wavelet Covariance and Cross-Covariance251
The Wavelet Correlation and Cross-Correlation256
Applications262
Univariate and Bivariate Spectrum Analysis266
8Artificial Neural Networks
Activation Functions276
Feedforward Networks279
Recurrent Networks290
Network Selection294
Adaptivity301
Estimation of Recurrent Networks301
Applications of Neural Network Models303
Notations315
Bibliography323
Index349


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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 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 th, An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 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 th, An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 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 th, An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

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