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FORECASTING TIME SERIES USING WAVELETS.
- Source :
-
International Journal of Wavelets, Multiresolution & Information Processing . Sep2007, Vol. 5 Issue 5, p709-724. 16p. 4 Charts, 1 Graph. - Publication Year :
- 2007
-
Abstract
- This paper deals with wavelets in time series, focusing on statistical forecasting purposes. Recent approaches involve wavelet decompositions in order to handle non-stationary time series in such context. A method, proposed by Renaud et al.,11 estimates directly the prediction equation by direct regression of the process on the Haar non-decimated wavelet coefficients depending on its past values. In this paper, this method is studied and extended in various directions. The new variants are used first for stationary data and after for stationary data contaminated by a deterministic trend. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02196913
- Volume :
- 5
- Issue :
- 5
- Database :
- Academic Search Index
- Journal :
- International Journal of Wavelets, Multiresolution & Information Processing
- Publication Type :
- Academic Journal
- Accession number :
- 26431181
- Full Text :
- https://doi.org/10.1142/S0219691307002002