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5. On comparison of jump point detection for an exchange rate series

On comparison of jump point detection for an exchange rate series

来源 :中国科学：数学英文版 | 被引量 : 0次 | 上传用户：mirowtg

【摘 要】

：

The main purpose of this paper is to investigate the detection of jump points of a discontinuous function in the presence of a noise by the wavelet approach. A

【作 者】

：

IP Wai-Cheung WONG Heung XIE Z 

【机 构】

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DepartmentofAppliedMathematics

【出 处】

：

中国科学：数学英文版

【发表日期】

：

2004年1期

【关键词】

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EXCHANGE rate JUMP points threshold wavelets. exchange rate jump points thres 

【基金项目】

：

This work was supported by reseach grants from the Hong Kong Polytechnic University and the National Natural Science Foundation of China (Grant No. 10171005).

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The main purpose of this paper is to investigate the detection of jump points of a discontinuous function in the presence of a noise by the wavelet approach. A computing algorithm of our method is proposed and then applied to the daily exchange rate of US

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