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

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dc.contributor.authorDluhá, Jitkacs
dc.contributor.authorKlejmová, Evacs
dc.contributor.authorMalach, Tobiášcs
dc.coverage.volume16cs
dc.date.issued2018-01-09cs
dc.description.abstractThe 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.en
dc.description.abstractČlánek se zabývá testováním významnosti společného pohybu časových řad měřených časově-frekvenčním přístupem.cs
dc.formattextcs
dc.format.extent1-5cs
dc.format.mimetypeapplication/pdfcs
dc.identifier.citationITM Web of Conferences. 2018, vol. 16, p. 1-5.en
dc.identifier.doi10.1051/itmconf/20181601002cs
dc.identifier.issn2271-2097cs
dc.identifier.orcid0000-0002-8060-0086cs
dc.identifier.orcid0000-0003-4342-2708cs
dc.identifier.other140120cs
dc.identifier.researcheridF-9027-2019cs
dc.identifier.scopus23490150100cs
dc.identifier.urihttp://hdl.handle.net/11012/196417
dc.language.isoencs
dc.publisherHelenic Military Academycs
dc.relation.ispartofITM Web of Conferencescs
dc.relation.urihttps://www.itm-conferences.org/articles/itmconf/abs/2018/01/contents/contents.htmlcs
dc.rightsCreative Commons Attribution 4.0 Internationalcs
dc.rights.accessopenAccesscs
dc.rights.sherpahttp://www.sherpa.ac.uk/romeo/issn/2271-2097/cs
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/cs
dc.subjectwaveletsen
dc.subjectcomovementen
dc.subjectsignificance testingen
dc.subjectwavelety
dc.subjectcomovement
dc.subjecttestování významnosti
dc.titleWavelet Co-movement Significance Testing with Respect to Gaussian White Noise Backgrounden
dc.title.alternativeTestování významnosti comovementu vzhledem ke Gaussovskému bílému šumucs
dc.type.driverconferenceObjecten
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen
sync.item.dbidVAV-140120en
sync.item.dbtypeVAVen
sync.item.insts2025.02.03 15:41:36en
sync.item.modts2025.01.17 18:39:20en
thesis.grantorVysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií. Ústav radioelektronikycs
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