Applications of Hilbert–Huang transform to non‐stationary financial time series analysis

E. Huang, Norden; C. Wu, Man‐Li; Qu, Wendong; Long, Steven; S. P. Shen, Samuel

doi:10.1002/asmb.501

Public

Applications of Hilbert–Huang transform to non‐stationary financial time series analysis

Published in Applied Stochastic Models in Business and Industry • Jul 1, 2003

Authors:

Norden E. Huang

Man‐Li C. Wu

Wendong Qu

Abstract

Abstract A new method, the Hilbert–Huang Transform (HHT), developed initially for natural and engineering sciences has now been applied to financial data. The HHT method is specially developed for analysing non‐linear and non‐stationary data. The method consists of two parts: (1) the empirical mode ...

Subject

Hilbert–Huang transform

Maxima and minima

Hilbert spectral analysis

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