Detection of low-frequency large-amplitude jump in financial time series.
Hui PengGenshiro KitagawaYoshiyasu TamuraYoko TanokuraMin GanXiaohong ChenPublished in: CDC (2007)
Keyphrases
- low frequency
- high frequency
- financial time series
- frequency domain
- wavelet transform
- stock market
- financial time series forecasting
- non stationary
- wavelet analysis
- subband
- wavelet coefficients
- turning points
- electromagnetic fields
- discrete wavelet transform
- frequency band
- high resolution
- detection algorithm
- financial data
- low and high frequency
- exchange rate
- multivariate time series
- multiscale
- image compression
- image processing