Forecasting time series using wavelets

被引：25

作者：

Aminghafari, Mina

机构：

[1] Univ Paris 11, Math Lab, UMR Probabil Stat & Modelisat C 8628, F-91405 Orsay, France

[2] Amirkabir Univ Technol, Fac Math, Tehran, Iran

[3] Amirkabir Univ Technol, Stat Res Ctr, Tehran, Iran

[4] Univ Paris 05, Paris, France

来源：

INTERNATIONAL JOURNAL OF WAVELETS MULTIRESOLUTION AND INFORMATION PROCESSING | 2007年 / 5卷 / 05期

关键词：

forecasting; non-stationary; time series; wavelets;

D O I：

10.1142/S0219691307002002

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

This paper deals with wavelets in time series, focusing on statistical forecasting purposes. Recent approaches involve wavelet decompositions in order to handle non-stationary time series in such context. A method, proposed by Renaud et al.,(11) estimates directly the prediction equation by direct regression of the process on the Haar non-decimated wavelet coefficients depending on its past values. In this paper, this method is studied and extended in various directions. The new variants are used first for stationary data and after for stationary data contaminated by a deterministic trend.

引用

页码：709 / 724

页数：16

共 50 条

[1] Nonstationary Time Series Forecasting Using Wavelets and Kernel Smoothing
Aminghafari, Mina
Poggi, Jean-Michel
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2012, 41 (03) : 485 - 499
[2] Forecasting Natural Gas Prices Using Wavelets, Time Series, and Artificial Neural Networks
Jin, Junghwan
Kim, Jinsoo
[J]. PLOS ONE, 2015, 10 (11):
[3] Short-term electricity price modeling and forecasting using wavelets and multivariate time series
Xu, HT
Niimura, T
[J]. 2004 IEEE PES POWER SYSTEMS CONFERENCE & EXPOSITION, VOLS 1 - 3, 2004, : 208 - 212
[4] TESTING FOR OUTLIERS IN TIME SERIES USING WAVELETS
ZHANG Tong (School of Management
Department of Econometrics and Business Statistics
[J]. Journal of Systems Science & Complexity, 2003, (04) : 453 - 465
[5] Pattern recognition of time series using wavelets
Maharaj, EA
[J]. COMPSTAT 2002: PROCEEDINGS IN COMPUTATIONAL STATISTICS, 2002, : 497 - 502
[6] Using wavelets to compare time series patterns
Maharaj, EA
[J]. INTERNATIONAL JOURNAL OF WAVELETS MULTIRESOLUTION AND INFORMATION PROCESSING, 2005, 3 (04) : 511 - 521
[7] Time-series forecasting through wavelets transformation and a mixture of expert models
Milidiú, RL
Machado, RJ
Rentería, RP
[J]. NEUROCOMPUTING, 1999, 28 : 145 - 156
[8] Mining for similarities in aligned time series using wavelets
Huhtala, Y
Kärkkäinen, J
Toivonen, H
[J]. DATA MINING AND KNOWLEDGE DISCOVERY: THEORY, TOOLS, AND TECHNOLOGY, 1999, 3695 : 150 - 160
[9] Discrimination of locally stationary time series using wavelets
Maharaj, Elizabeth A.
Alonso, Andres M.
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2007, 52 (02) : 879 - 895
[10] Analysis of time series with wavelets
Ciancio, Armando
[J]. INTERNATIONAL JOURNAL OF WAVELETS MULTIRESOLUTION AND INFORMATION PROCESSING, 2007, 5 (02) : 241 - 256

← 1 2 3 4 5 →