Wavelet-based analysis of time series: an export from engineering to finance
John Randolph Norsworthy, D. Li, Rifat Gorener · Proceedings of the 2000 IEEE Engineering Management Society. EMS - 2000 (Cat. No.00CH37139) · 2002
Wavelet analysis is a new development in applied mathematics about ten years in duration. Wavelet analysis has been applied to many situations with favorable results. Wavelet analysis has remarkable impact mainly on three fields, signal processing, image analysis and data compression. Wavelets also have special statistic properties, which can be used in adaptive filtering and smoothing. Many researchers are expanding its application on other fields, such as financial engineering. This author presents a brief review of wavelet methods and its applications. Their empirical study is developed on the SPLUS (Bruce and Gao, 1996) wavelet module platform.