Journal
IEEE TRANSACTIONS ON SYSTEMS MAN AND CYBERNETICS PART B-CYBERNETICS
Volume 35, Issue 6, Pages 1241-1251Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TSMCB.2005.850182
Keywords
autoregression; filtering; forecasting; Kalman filter; model; resolution; scale; time series; wavelet transform
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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.
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