Wavelet-based analysis of time series: an export from engineeringto finance

摘要

Wavelet analysis is a new development in applied mathematics aboutten years in duration. Wavelet analysis has been applied to manysituations with favorable results. Wavelet analysis has remarkableimpact mainly on three fields, signal processing, image analysis anddata compression. Wavelets also have special statistic properties, whichcan be used in adaptive filtering and smoothing. Many researchers areexpanding its application on other fields, such as financialengineering. This author presents a brief review of wavelet methods andits applications. Their empirical study is developed on the SPLUS (Bruceand Gao, 1996) wavelet module platform