For those not too familiar with wavelet theory I have attached some notes here for easy view. The idea of a non-fixed sampling rate is fundamental to the Wavelet Transform and it is very important to understand these concepts before delving into actual applications. The newbie may find some of the material heavy going in terms of the maths involved, but I believe understanding ideas are more important than being able to evaluate intagrals.

The first set of notes presents basic multirate concepts. The notion of upsampling and downsampling are discussed in terms of time and frequency domain characteristics.

The second set of notes gives a very friendly introduction to the Wavelet Transform and shows it’s advantages over the Fourier Transform.

I have also attached a very readable paper titled “Wavelets for kids“. You can download it from here

Over the next few posts we shall look at some wavelet decomposition models for financial time series.

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