In order to identify details of cross-correlation more distinctly, cross-correlation is analyzed by MODWT ( maximal overlap discrete wavelet transform ) on various scales. 利用最大重复离散小波变换对沪深股市的交叉互相关性做小波分析,把互相关函数分解在不同的尺度上,以便更清晰地识别沪深股市高频收益序列的互相关性。
Time-Frequency Analysis of Hilbert Spectrum Based on Maximal Overlap Discrete Wavelet Packet Transform 用最大重叠离散小波包变换的Hilbert谱时频分析