Locally Stationary Wavelet Process and Its Application in Consumer Price Index

Subject Areas : Journal of Investment Knowledge

Bistoon  Hosseini ¹ ([e-mail])
Reza  Poortaheri ² (Assistant Professor of Allame Tabatabaei University)

Received: 2012-04-06 Accepted : 2012-06-13 Published : 2012-06-13

Keywords: Wavelet, Discrete Non-Decimated Wavelet, Locally Stationary Process, Locally Stationary Wavelet Pro, Consumer price index,

Abstract :

In this paper the new model of Locally Stationary Wavelet (LSW) processes is introduced which is based on reconstruction of functions using wavelets. This model creates a new class of time series that can have a non-stationary behavior. It is observed that, LSW model has a construction similar to moving average model. Finally time series data for Consumer Price Index (CPI) of the country (Iran) in a definite time interval is investigated using this model