Acta Scientiarum Naturalium Universitatis Pekinensis

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Wavelet Detection of Jump Points and Its Application to Exchange Rates

WONG Heung1, IP Wai cheung1, LUAN Yihui2, XIE Zhongjie2   

  1. 1Department of Applied Mathematics, The Hong Kong Polytechnic University Kowloon, Hong Kong; 2Department of Probability and Statistics, Peking University, Beijing, 100871
  • Received:1996-12-23 Online:1997-05-20 Published:1997-05-20


黄香1, 叶维彰1, 栾贻会2, 谢衷洁2   

  1. 1香港理工大学应用数学系,香港,九龙; 2北京大学数学学院概率统计系,北京,100871

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.

Key words: wavelets, jump points detection, exchange rate

关键词: 小波, 跃点检测, 汇率

CLC Number: