Spectral and wavelet analysis: mathematical foundations and applications in economics
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
München
AVM
2009
|
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 107 - 110 |
| Beschreibung: | 110 S. Ill., graph. Darst. 21 cm |
| ISBN: | 9783899759037 |
Internformat
MARC
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| 245 | 1 | 0 | |a Spectral and wavelet analysis |b mathematical foundations and applications in economics |c Alexander Ludwig |
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Datensatz im Suchindex
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CONTENTS 1 INTRODUCTION 1 2 THE PERIODOGRAM 5 2.1 PERIODIC FUNCTIONS AND
THE ORIGIN OF THE PERIODOGRAM 5 2.2 THE PERIODOGRAM AND THE SPECTRAL
DENSITY FUNCTION 7 2.3 STATISTICAL PROPERTIES OF THE PERIODOGRAM 10
2.3.1 PRELIRNINARY LEMMAS 10 2.3.2 EXPECTED VALUE OF THE PERIODOGRAM 12
2.3.3 VARIANCE OF THE PERIODOGRAM 13 2.3.4 COVAERIANCE OF DIFFERENT
PERIODOGRAM POINTS 13 2.4 THE DISTRIBUTION OF THE PERIODOGRAM 14 2.4.1
THE PERIODOGRAM OF A WHITE NOISE PROCESS 14 2.4.2 THE PERIODOGRAM OF
STATIONARY PROCESSES IN GENERAL 16 2.4.3 TEST OF PERIODICITY 18 3
CONSISTENT ESTIMATES OF THE SPECTRUM - SPECTRAL WINDOWS 21 3.1 THE
PROBLEM WITH THE PERIODOGRAM REVISITED 21 3.2 SPECTRAL WINDOWS 22 3.2.1
TRUNCATED PERIODOGRAM WINDOW 23 3.2.2 BARTLETT WINDOW 24 3.2.3 TUKEY
WINDOWS 24 BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/993077129
DIGITALISIERT DURCH 5.6.2 THE COHERENCE BETWEEN U.S. AND GERMAN GDP 57
3.3 ACADEMIC EXAMPLE 25 4 BUSINESS CYCLE DETECTION IN GDP DATA 27 4.1
DECOMPOSITION OF GDP SERIES 27 4.2 DETRENDING FILTERS AND THEIR
PROPERTIES 28 4.2.1 LINEAR TREND 29 4.2.2 POLYNOMIAL TREND 30 4.2.3
HODRICK-PRESCOTT FILTER 32 4.2.4 BAND-PASS FILTER 34 4.2.5 MOVING
AVERAGES 37 4.2.6 FIRST DIFFERENCES 39 4.2.7 PRODUCTION FUNCTIONS 41 4.3
THE U.S. GDP AND ITS BUSINESS CYCLE 41 4.3.1 CYCLES OBTAINED FROM FIRST
DIFFERENCES AND LINEAR DETRENDING . 42 4.3.2 CYCLES OBTAINED FROM THE
HODRICK-PRESCOTT FILTER 44 5 CORRELATION MEASURES OF TIME SERIES IN THE
FREQUENCY DOMAIN 47 5.1 INTERPLAY OF SERIES IN THE TIME DOMAIN - THE
R-SQUARED 47 5.2 INTERPLAY OF SERIES IN THE FREQUENCY DOMAIN - THE
SQUARED COHERENCE . 48 5.3 MAGNITUDE AND PHASE SPECTRUM 51 5.4
CO-SPECTRUM 52 5.5 APPLICATIONS REGARDING CORRELATION MEASURES IN THE
FREQUENCY DOMAIN . . 53 5.5.1 MONEY GROWTH AND INFLATION 53 5.5.2
PROPERTY AND RELATED SECTORS 53 5.5.3 UNEMPLOYMENT AND LABOUR
PRODUCTIVITY GROWTH 54 5.6 PRACTICAL EXAMPLES 55 5.6.1 ACADEMIC EXAMPLE
55 A.3 PROOFS REGARDING SECTION 2.4 103 6 WAVELETS IN THEORY 59 6.1 A
MOTIVATION OF WAVELETS 59 6.2 THE CONTINUOUS WAVELET TRANSFORM IN BRIEF
61 6.3 THE DISCRETE WAVELET TRANSFORM IN BRIEF 63 6.4 INTERPLAY OF
SERIES IN TIME AND FREQUENCY - SEMBLANCE ANALYSIS 66 6.5 CYCLE
SIGNIFICANCE TEST 67 7 WAVELETS IN ECONOMIC APPLICATIONS 71 7.1 WAVELETS
IN ECONOMIC RESEARCH 71 7.1.1 U.S. CORE INFLATION 71 7.1.2 STOCK MARKET
RETURNS AND INDUSTRIAL PRODUCTION 73 7.1.3 ECONOMIC FLUCTUATIONS AND
MORTALITY 74 7.2 PRACTICAL EXAMPLES 75 7.2.1 THE DWT - ACADEMIC EXAMPLE
75 7.2.2 THE CWT - ACADEMIC EXAMPLE 77 7.2.3 SEMBLANCE ANALYSIS -
ACADEMIC EXAMPLE 80 7.2.4 DECOMPOSITION OF THE GERMAN GDP USING DWT 82
7.2.5 DETECTION OF CYCLES IN THE GERMAN GDP USING CWT 84 7.2.6 SEMBLANCE
BETWEEN GERMAN GDP AND OTHER SERIES 85 8 SUMMARY 87 A PROOFS 89 A.L
PROOFS REGARDING SECTION 2.2 89 A.2 PROOFS REGARDING SECTION 2.3 91 |
| any_adam_object | 1 |
| author | Ludwig, Alexander 1983- |
| author_GND | (DE-588)137609507 |
| author_facet | Ludwig, Alexander 1983- |
| author_role | aut |
| author_sort | Ludwig, Alexander 1983- |
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| building | Verbundindex |
| bvnumber | BV035366846 |
| ctrlnum | (OCoLC)317290806 (DE-599)DNB993077129 |
| dewey-full | 519.23 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.23 |
| dewey-search | 519.23 |
| dewey-sort | 3519.23 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV035366846 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T10:05:21Z |
| institution | BVB |
| isbn | 9783899759037 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017170798 |
| oclc_num | 317290806 |
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| physical | 110 S. Ill., graph. Darst. 21 cm |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | AVM |
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| spelling | Ludwig, Alexander 1983- Verfasser (DE-588)137609507 aut Spectral and wavelet analysis mathematical foundations and applications in economics Alexander Ludwig München AVM 2009 110 S. Ill., graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. 107 - 110 Konjunkturzyklus - Wavelet-Analyse - Spektralanalyse <Stochastik> Wavelet-Analyse (DE-588)4760859-6 gnd rswk-swf Spektralanalyse Stochastik (DE-588)4056125-2 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 s Wavelet-Analyse (DE-588)4760859-6 s Spektralanalyse Stochastik (DE-588)4056125-2 s DE-604 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3256357&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017170798&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ludwig, Alexander 1983- Spectral and wavelet analysis mathematical foundations and applications in economics Konjunkturzyklus - Wavelet-Analyse - Spektralanalyse <Stochastik> Wavelet-Analyse (DE-588)4760859-6 gnd Spektralanalyse Stochastik (DE-588)4056125-2 gnd Konjunkturzyklus (DE-588)4032134-4 gnd |
| subject_GND | (DE-588)4760859-6 (DE-588)4056125-2 (DE-588)4032134-4 |
| title | Spectral and wavelet analysis mathematical foundations and applications in economics |
| title_auth | Spectral and wavelet analysis mathematical foundations and applications in economics |
| title_exact_search | Spectral and wavelet analysis mathematical foundations and applications in economics |
| title_full | Spectral and wavelet analysis mathematical foundations and applications in economics Alexander Ludwig |
| title_fullStr | Spectral and wavelet analysis mathematical foundations and applications in economics Alexander Ludwig |
| title_full_unstemmed | Spectral and wavelet analysis mathematical foundations and applications in economics Alexander Ludwig |
| title_short | Spectral and wavelet analysis |
| title_sort | spectral and wavelet analysis mathematical foundations and applications in economics |
| title_sub | mathematical foundations and applications in economics |
| topic | Konjunkturzyklus - Wavelet-Analyse - Spektralanalyse <Stochastik> Wavelet-Analyse (DE-588)4760859-6 gnd Spektralanalyse Stochastik (DE-588)4056125-2 gnd Konjunkturzyklus (DE-588)4032134-4 gnd |
| topic_facet | Konjunkturzyklus - Wavelet-Analyse - Spektralanalyse <Stochastik> Wavelet-Analyse Spektralanalyse Stochastik Konjunkturzyklus |
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