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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 {Poměnková} 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" }