Research Discussion Papers, Bank of Finland
No 32/2009:
How do you make a time series sing like a choir? Using the Hilbert-Huang transform to extract embedded frequencies from economic or financial time series
Patrick M Crowley ()
Abstract: The Hilbert-Huang transform (HHT) was developed late last
century but has still to be introduced to the vast majority of economists.
The HHT transform is a way of extracting the frequency mode features of
cycles embedded in any time series using an adaptive data method that can
be applied without making any assumptions about stationarity or linear
data-generating properties. This paper introduces economists to the two
constituent parts of the HHT transform, namely empirical mode decomposition
(EMD) and Hilbert spectral analysis. Illustrative applications using HHT
are also made to two financial and three economic time series.
Keywords: business cycles; growth cycles; Hilbert-Huang transform (HHT); empirical mode decomposition (EMD); economic time series; non-stationarity; spectral analysis; (follow links to similar papers)
JEL-Codes: C49; E00; (follow links to similar papers)
37 pages, November 21, 2009
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