Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62888
Authors: 
Cascio, Iolanda Lo
Year of Publication: 
2007
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 600
Abstract: 
This paper surveys the techniques of wavelets analysis and the associated methods of denoising. The Discrete Wavelet Transform and its undecimated version, the Maximum Overlapping Discrete Wavelet Transform, are described. The methods of wavelets analysis can be used to show how the frequency content of the data varies with time. This allows us to pinpoint in time such events as major structural breaks. The sparse nature of the wavelets representation also facilitates the process of noise reduction by nonlinear wavelet shrinkage, which can be used to reveal the underlying trends in economic data. An application of these techniques to the UK real GDP (1873-2001) is described. The purpose of the analysis is to reveal the true structure of the data - including its local irregularities and abrupt changes - and the results are surprising.
Subjects: 
Wavelets , Denoising , Structural breaks , Trend estimation
JEL: 
C22
C14
C53
Document Type: 
Working Paper

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