A New wavelet tool to quantify non-periodicity of non-stationary economic time series
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A New wavelet tool to quantify non-periodicity of non-stationary economic time series

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A New wavelet tool to quantify non-periodicity of non-stationary economic time series

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dc.contributor.author Bolós Lacave, Vicente
dc.contributor.author Benítez Suárez, Rafael
dc.contributor.author Ferrer Lapeña, Román
dc.date.accessioned 2021-05-05T09:54:11Z
dc.date.available 2021-05-05T09:54:11Z
dc.date.issued 2020
dc.identifier.uri https://hdl.handle.net/10550/79190
dc.description.abstract We introduce a new wavelet tool, the windowed scale index, to study the degree of non-periodicity of time series. The windowed scale index is based on some recently defined tools, such as the windowed scalogram and the scale index. This novel measure is appropriate for non-stationary time series whose characteristics change over time and, therefore, it can be applied to a wide variety of disciplines. Furthermore, we revise the concept of the scale index and pose a theoretical problem: it is known that if the scale index of a function is not zero then it is non-periodic, but if the scale index of a function is zero, then it is not proved that it has to be periodic. This problem is solved for the particular case of the Haar wavelet, reinforcing the interpretation of the windowed scale index as a useful tool to quantify non-periodicity. In addition, the applicability of this wavelet-based measure is illustrated through several examples, including an economic application which compares the non-periodicity of two major commodities in the world economy, such as crude oil and gold. Finally, we discuss the relationship between non-periodicity and unpredictability, comparing the windowed scale index with the sample entropy.
dc.language.iso eng
dc.relation.ispartof Mathematics, 2020, vol. 8, p. 844-859
dc.rights.uri info:eu-repo/semantics/openAccess
dc.source Bolós Lacave, Vicente Benítez Suárez, Rafael Ferrer Lapeña, Román 2020 A New wavelet tool to quantify non-periodicity of non-stationary economic time series Mathematics 8 844 859
dc.subject Economia matemàtica
dc.title A New wavelet tool to quantify non-periodicity of non-stationary economic time series
dc.type info:eu-repo/semantics/article
dc.date.updated 2021-05-05T09:54:12Z
dc.identifier.doi https://doi.org/10.3390/math8050844
dc.identifier.idgrec 139169

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