| 跳跃点统计检测的小波方法及其在金融汇率中的应用 |
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| 引用本文： | 黄香,叶维彰,栾贻会,谢衷洁.跳跃点统计检测的小波方法及其在金融汇率中的应用[J].北京大学学报(自然科学版),1997(3). |
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| 作者姓名： | 黄香 叶维彰 栾贻会 谢衷洁 |
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| 作者单位： | 香港理工大学应用数学系，北京大学数学学院概率统计系 |
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| 摘 要： | 跳跃点统计检测的小波方法及其在金融汇率中的应用１）黄香叶维彰（香港理工大学应用数学系，香港，九龙）栾贻会谢衷洁（北京大学数学学院概率统计系，北京，１００８７１）关键词小波；跃点检测；汇率中图分类号Ｏ２１１；Ｏ２１２０引言近年来，小波分析已引入到统计领...
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Wavelet Detection of Jump Points and Its Application to Exchange Rates |
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| WONG Heung,IP Wai cheung.Wavelet Detection of Jump Points and Its Application to Exchange Rates[J].Acta Scientiarum Naturalium Universitatis Pekinensis,1997(3). |
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| Authors: | WONG Heung IP Wai cheung |
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| Abstract: | We propose a method for jump point detection by wavelets. The observation model is assumed to be a deterministic function with an additive stationary noise. The detecting method is applied to the daily exchange rate of the US Dollar against Deutsche Mark in the period 1989 08 01 to 1991 07 31. All the points detected by our method reflect very strong economic and political impacts. |
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| Keywords: | wavelets jump points detection exchang rate |
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