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1. Grey Prediction of Oscillating Data Based on Empirical Model Decomposition and Modified Savitzky-Golay Approach.

Author

Deng Liurui, Yang Shenggang, and Hu Zongyi

Subjects
*PREDICTION models, *GREY relational analysis, *SIGNAL processing, *ELECTRIC filters, *STOCK exchanges, *INFORMATION storage & retrieval systems, *WAVELETS (Mathematics)
Abstract

In this paper, we research on grey prediction based on de-noising via empirical mode decomposition and modified Savitzky-Golay approach. Oscillating signal is decomposed adaptively into intrinsic oscillatory components called intrinsic mode functions (IMFs). We filter IFMs through modified Savitzky-Golay filter. Then we predict IMFs filtered with grey prediction GM (1, 1) before signal reconstruction. This new method is applied to the data of Shanghai stock exchange index and the results are compared to the grey prediction based on wavelets. [ABSTRACT FROM AUTHOR]

Published
2012

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