Biometrika · 1995 · 285 citations · 19 references
BusinessComputer ScienceFinanceFinancial EconomicsQuantitative FinanceTime Series AnalysisAsset Return ModelingDigital Signal ProcessingFinancial Time Series AnalysisJump ProcessesSignal Detection TheorySignal ProcessingAsymptotic Distribution TheoryAsymptotic TheoryJump DetectionPrice Jump DetectionWavelet AnalysisWavelet TransformWavelet Transform AnalysisWavelet-based Analysis
A method is proposed to detect jumps and sharp cusps in a function which is observed with noise, by checking if the wavelet transformation of the data has significantly large absolute values across fine scale levels. Asymptotic theory is established and practical implementation is discussed. The method is tested on simulated examples, and applied to stock market return data.
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Ideal spatial adaptation by wavelet shrinkage
David L. Donoho, Iain M. Johnstone · Biometrika · 1994 · 7.8K citations
Detection of Abrupt Changes: Theory and Application
Kurt S. Riedel · Technometrics · 1994 · 3K citations