Publication detail

Identification of a time-varying model using wavelet approach and AR process

POMĚNKOVÁ, J. KLEJMOVÁ, E.

Original Title

Identification of a time-varying model using wavelet approach and AR process

Type

conference paper

Language

English

Original Abstract

The paper aim is to give recommendation for work with time frequency modeling of macroeconomic time series on the basis of comparative study. We investigate wavelet analysis and time-varying autoregressive process. We follow two main areas of focus - sample size for available data set and its shortening and optimization of parameters of mentioned methods. In case of time-varying autoregressive process we investigate optimization of parameters such as lag length, windowing and overlap. In wavelet analysis approach we investigate the type of wave and scale. Performance of methods is presented on the gross domestic product data of USA, United Kingdom and Korea. These representatives were chosen from the perspective of available sample size and from the reason the country represent economy in different geographic area. An advantage of wavelet analysis is better time resolution. An autoregressive process provides better frequency resolution, but it is quite sensitive to sample size.

Keywords

Wavelet transform, autoregressive process, optimization

Authors

POMĚNKOVÁ, J.; KLEJMOVÁ, E.

RIV year

2015

Released

9. 9. 2015

Publisher

University of West Bohemia, Plzeň

Location

Plzeň

ISBN

978-80-261-0539-8

Book

33rd International Conference Mathematical Methods in Economics MME 2015 - Conference Proceedings

Pages from

665

Pages to

670

Pages count

6

URL

https://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf

BibTex

@inproceedings{BUT116326,
  author="Jitka {Dluhá} and Eva {Klejmová}",
  title="Identification of a time-varying model using wavelet approach and AR process",
  booktitle="33rd International Conference Mathematical Methods in Economics MME 2015 - Conference Proceedings",
  year="2015",
  pages="665--670",
  publisher="University of West Bohemia, Plzeň",
  address="Plzeň",
  isbn="978-80-261-0539-8",
  url="https://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf"
}