On neuro-wavelet modeling

Fionn Murtagh, Jean Luc Starck, Olivier Renuad

Research output: Contribution to journalReview article

102 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)475-484
Number of pages10
JournalDecision Support Systems
Volume37
Issue number4
Early online date3 Jul 2003
DOIs
Publication statusPublished - 1 Sep 2004
Externally publishedYes

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