Wavelet-based combined signal filtering and prediction

Olivier Renaud, Jean Luc Starck, Fionn Murtagh

Research output: Contribution to journalArticle

83 Citations (Scopus)

Abstract

We survey a number of applications of the wavelet transform in time series prediction. We show how multiresolution prediction can capture short-range and long-term dependencies with only a few parameters to be estimated. We then develop a new multiresolution methodology for combined noise filtering and prediction, based on an approach which is similar to the Kalman filter. Based on considerable experimental assessment, we demonstrate the powerfulness of this methodology.

LanguageEnglish
Pages1241-1251
Number of pages11
JournalIEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics
Volume35
Issue number6
Early online date21 Nov 2005
DOIs
Publication statusPublished - 1 Dec 2005
Externally publishedYes

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Signal filtering and prediction
Kalman filters
Wavelet transforms
Time series

Cite this

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Wavelet-based combined signal filtering and prediction. / Renaud, Olivier; Starck, Jean Luc; Murtagh, Fionn.

In: IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics, Vol. 35, No. 6, 01.12.2005, p. 1241-1251.

Research output: Contribution to journalArticle

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KW - Forecasting

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KW - Model

KW - Resolution

KW - Scale

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