Wavelet Methods for Time Series Analysis (Cambridge Series in Statistical and Probabilistic Mathematics) [Hardcover]

Donald B. Percival (Author), Andrew T. Walden (Author)

Book Description

ISBN-10: 0521640687 | ISBN-13: 978-0521640688 | Publication Date: July 24, 2000

The analysis of time series data is essential to many areas of science, engineering, finance and economics. This introduction to wavelet analysis "from the ground level and up," and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises--with complete solutions provided in the Appendix--allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential. Author resource page: http://faculty.washington.edu/dbp/wmtsa.html

Editorial Reviews

Review

"The authors...provide considerable background material, tell their story from scratch, proceed at a careful pace...and work out detailed applications...Recommended" Choice

Book Description

This introduction to wavelet analysis, and to wavelet-based statistical analysis of time series, gives detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet (and related) transforms. Numerous examples illustrate the techniques on real data. Embedded exercises--with full solutions provided--aid self-guided study; additional exercises can be used in a classroom setting. A Web site gives access to the time series and wavelets used in the book, as well as information on how to access software in S-Plus and other languages.

Product Details

• Hardcover: 620 pages
• Publisher: Cambridge University Press (July 24, 2000)
• Language: English
• ISBN-10: 0521640687
• ISBN-13: 978-0521640688
• Product Dimensions: 10.4 x 7.4 x 1.6 inches
• Shipping Weight: 3 pounds
• Average Customer Review: 4.1 out of 5 stars  See all reviews (8 customer reviews)
• Amazon Best Sellers Rank: #2,192,894 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

28 of 29 people found the following review helpful:

4.0 out of 5 stars introduction to wavelets and its applications in time series, February 15, 2008

By 

Michael R. Chernick "statman31147" (Holland PA) - See all my reviews
(REAL NAME)   

This review is from: Wavelet Methods for Time Series Analysis (Cambridge Series in Statistical and Probabilistic Mathematics) (Hardcover)

The purpose of this text is to introduce wavelet methodology targeted toward applications in time series analysis. Emphasis is placed on the discrete wavelet transform and other discrete wavelets. There are many analogies to the spectral analysis of time series that the authors make. The authors do not assume knowledge of Fourier analysis and cover the relevent theory in Chapter 2. Just as the frequency domain methods decompose the variance of a time series into frequency components so to do wavelets decompose the variance according to scales. The authors take great pains in demonstrating this with several wavelets including the DWT and MODWT. Fast transform methods exist for wavelets as well as for Fourier series and they are apparently even simpler and faster for wavelets.
The text tries to be self-contained and the authors start out at a very elementary level. They emphasize applications and practical aspects of wavelets.

16 of 16 people found the following review helpful:

5.0 out of 5 stars Reference for time series analysts using wavelets, December 17, 2002

By 

Steve Uhlig (Berlin, Germany) - See all my reviews
(REAL NAME)   

This review is from: Wavelet Methods for Time Series Analysis (Cambridge Series in Statistical and Probabilistic Mathematics) (Hardcover)

Few wavelet books offer such a deep insight into wavelet methods
for time series analysts. It goes very deep within the applied
side of wavelet analysis on real time series while not compromising
the mathematical side. A lot of books and papers insist too much
on the mathematical side of wavelets while this one provides just
the right balance between rigor and practical insight. If your
interest does not lie in maths but just in wavelets as a tool,
stick to this one.

As a bonus, it contains a lot of exercices along with answers
at the end of the book...a very good textbook indeed...

11 of 11 people found the following review helpful:

5.0 out of 5 stars First rate all the way, August 3, 2001

By A Customer

This review is from: Wavelet Methods for Time Series Analysis (Cambridge Series in Statistical and Probabilistic Mathematics) (Hardcover)

As far as I am concerned,anything Don Percival writes about the topic of wavelets - or digital signal processing - is well worth reading. I was struggling to understand wavelets before I ran across a paper by Percival (and cohorts from the University of Washington) on interpreting remote sensing sea ice data using wavelets. After reading the very clear and compact description of wavelet analysis the light bulb clicked on for me. This book is a must read for anyone interested in wavelets from beginners to experienced practicioners.