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.
|Number of pages||11|
|Journal||IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics|
|Early online date||21 Nov 2005|
|Publication status||Published - 1 Dec 2005|