Identification of time-varying model using wavelet approach and AR process
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F15%3APU115327" target="_blank" >RIV/00216305:26220/15:PU115327 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Identification of time-varying model using wavelet approach and AR process
Original language description
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.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
JA - Electronics and optoelectronics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/LO1401" target="_blank" >LO1401: Interdisciplinary Research of Wireless Technologies</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
33rd International Conference Mathematical Methods in Economics MME 2015 - Conference Proceedings
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
665-670
Publisher name
University of West Bohemia, Plzeň
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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