Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212153 
Year of Publication: 
2009
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 32/2009
Publisher: 
Bank of Finland, Helsinki
Abstract: 
The Hilbert-Huang transform (HHT) was developed late last century but has still to be introduced to the vast majority of economists. The HHT transform is a way of extracting the frequency mode features of cycles embedded in any time series using an adaptive data method that can be applied without making any assumptions about stationarity or linear data-generating properties. This paper introduces economists to the two constituent parts of the HHT transform, namely empirical mode decomposition (EMD) and Hilbert spectral analysis. Illustrative applications using HHT are also made to two financial and three economic time series.
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-553-1
Document Type: 
Working Paper

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