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
AN - SCOPUS:2442717994
VL - 37
SP - 475
EP - 484
JO - Decision Support Systems
JF - Decision Support Systems
SN - 0167-9236
IS - 4
ER -