A Stochastic Nonlinear Regression Estimator Using Wavelets

被引：1

作者：

Zuohong Pan

Xiaodi Wang

机构：

[1] Western Connecticut State University,Department of Economics

[2] Department of Mathematics,undefined

来源：

Computational Economics | 1997年 / 11卷 / 1-2期

关键词：

market inefficiency; stochastic nonlinear regression; wavelet-based estimator.;

D O I：

10.1023/A:1008670529487

中图分类号：

学科分类号：

摘要：

A new wavelet-based estimator is introduced which combines the state-space model with the wavelet transform in an effort to explore the stock market inefficiency. The new estimator possesses some superior qualities that are illustrated through its actual performance in forecasting the S&P 500.

引用

页码：89 / 103

页数：14

共 18 条

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[4] Lavergne C.(1995)Translation-invariant de-noising Wavelets and Statistics 103 125-150
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[6] Coifman R.R.(1988)Orthonormal bases of compactly supported wavelets Comm. Pure Appl. Math 41 909-996
[7] Rokhlin V.(1989)Multiresolution approximation and wavelet orthonormal bases of Trans. Am. Math. Soc 315 69-88
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