The Wavelets transform is used to perform a spectral analysis of EEG signals. Unlike the FFT,
which calculates the entire frequency spectrum for a given interval, the Wavelets transform
performs a local analysis of non-stationary signals in the time-frequency domain. Accordingly,
it provides simultaneously the frequency content of the signal in the vicinity of each time
point. You can use this transform to analyze short-lasting changes in the frequency spectrum
of the EEG signal over time.
FFT analysis cannot detect short-lasting spectral changes, because the FFT depicts the frequency
spectrum over a longer time interval.