Abstract
We survey a number of applications of the wavelet transform in time series prediction. The Haar à trous wavelet transform is proposed as a means of handling time series data when future data is unknown. Results are exemplified on financial futures and S&P500 data. Nonlinear and linear multiresolution autoregressionmodels are studied. Experimentally, we show that multiresolution approaches can outperform the traditional single resolution approach to modeling and prediction.
| Language | English |
|---|---|
| Pages | 475-484 |
| Number of pages | 10 |
| Journal | Decision Support Systems |
| Volume | 37 |
| Issue number | 4 |
| Early online date | 3 Jul 2003 |
| DOIs | |
| Publication status | Published - 1 Sep 2004 |
| Externally published | Yes |
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On neuro-wavelet modeling. / Murtagh, Fionn; Starck, Jean Luc; Renuad, Olivier.
In: Decision Support Systems, Vol. 37, No. 4, 01.09.2004, p. 475-484.Research output: Contribution to journal › Review article
TY - JOUR
T1 - On neuro-wavelet modeling
AU - Murtagh, Fionn
AU - Starck, Jean Luc
AU - Renuad, Olivier
PY - 2004/9/1
Y1 - 2004/9/1
N2 - We survey a number of applications of the wavelet transform in time series prediction. The Haar à trous wavelet transform is proposed as a means of handling time series data when future data is unknown. Results are exemplified on financial futures and S&P500 data. Nonlinear and linear multiresolution autoregressionmodels are studied. Experimentally, we show that multiresolution approaches can outperform the traditional single resolution approach to modeling and prediction.
AB - We survey a number of applications of the wavelet transform in time series prediction. The Haar à trous wavelet transform is proposed as a means of handling time series data when future data is unknown. Results are exemplified on financial futures and S&P500 data. Nonlinear and linear multiresolution autoregressionmodels are studied. Experimentally, we show that multiresolution approaches can outperform the traditional single resolution approach to modeling and prediction.
KW - À trous wavelet transform
KW - Feature selection
KW - Haar wavelet transform
KW - Time series forecasting
UR - http://www.scopus.com/inward/record.url?scp=2442717994&partnerID=8YFLogxK
U2 - 10.1016/S0167-9236(03)00092-7
DO - 10.1016/S0167-9236(03)00092-7
M3 - Review article
VL - 37
SP - 475
EP - 484
JO - Decision Support Systems
T2 - Decision Support Systems
JF - Decision Support Systems
SN - 0167-9236
IS - 4
ER -