Course Language:
English
Course Content:
Introduction to Fourier transforms (FT): Definition, properties and continuous time FT maps. Power spectrum, Wiener-Kintchene formula, Fast Fourier Transforms (FFT). Problems with FFT.
Linear filters and volatility estimation. Wavelet and wavelet transforms (WT): Definition and properties, discrete time wavelet transforms (DWT), Haar, Daubechies, Symlet, etc. wavelets.
Multiple resolution analysis (MRA). Deflecting with wavelet transforms. Sharpening with discrete time wavelet transforms. Wavelets and long-term memory. Stein's unbiased risk estimation.
Teaching Methods:
1: Lecture, 2: Question-Answer, 3: Discussion
Assessment Methods:
A: Testing, B: Homework