Wavelet Co-movement Significance Testing with Respect to Gaussian White Noise Background

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F18%3APU124855" target="_blank" >RIV/00216305:26220/18:PU124855 - isvavai.cz</a>

Result on the web

<a href="https://www.itm-conferences.org/articles/itmconf/abs/2018/01/contents/contents.html" target="_blank" >https://www.itm-conferences.org/articles/itmconf/abs/2018/01/contents/contents.html</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1051/itmconf/20181601002" target="_blank" >10.1051/itmconf/20181601002</a>

Result language

angličtina

Original language name

Wavelet Co-movement Significance Testing with Respect to Gaussian White Noise Background

Original language description

The paper deals with significance testing of time series co-movement measured via time-frequency approach. We use the wavelet analysis for estimation of the co/cross-spectra for the co-movement analysis. This technique is very popular in the most of economic applications for its better time resolution compare to other techniques. Such approach put in evidence the existence of both long-run and short-run co-movement. In order to have better predictive power it is suitable to support and validate obtained results via some testing approach. We investigate the test of wavelet power co/cross-spectrum with respect to the Gaussian white noise background with the use of the Bessel function. Our experiment is performed on synthetic signal and real data. We use seasonally adjusted quarterly data of gross domestic product of the United Kingdom, Korea and G7 countries. To validate the test results we perform Monte Carlo simulation. We describe the advantages and disadvantages of both approaches and formulate recommendations for using time-frequency testing for wavelet co/cross-spectra.

Czech name

—

Czech description

—

Type

D - Article in proceedings

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

ITM Web of Conferences

ISBN

—

ISSN

2271-2097

e-ISSN

—

Number of pages

5

Pages from-to

1-5

Publisher name

Helenic Military Academy

Place of publication

Athens, Greece

Event location

Atény

Event date

Oct 6, 2017

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

—