Wavelets and prediction in time series

Mošová, Vratislava. "Wavelets and prediction in time series." Programs and Algorithms of Numerical Mathematics. Prague: Institute of Mathematics AS CR, 2015. 156-162. <http://eudml.org/doc/269928>.

@inProceedings{Mošová2015,
abstract = {Wavelets (see [2, 3, 4]) are a recent mathematical tool that is applied in signal processing, numerical mathematics and statistics. The wavelet transform allows to follow data in the frequency as well as time domain, to compute efficiently the wavelet coefficients using fast algorithm, to separate approximations from details. Due to these properties, the wavelet transform is suitable for analyzing and forecasting in time series. In this paper, Box-Jenkins models (see [1, 5]) combined with wavelets are used to the prediction of a time series behavior. The described method is demonstrated on an example from practice in the conclusion.},
author = {Mošová, Vratislava},
booktitle = {Programs and Algorithms of Numerical Mathematics},
keywords = {wavelets; time-series; ARIMA; modelling inflation},
location = {Prague},
pages = {156-162},
publisher = {Institute of Mathematics AS CR},
title = {Wavelets and prediction in time series},
url = {http://eudml.org/doc/269928},
year = {2015},
}

TY - CLSWK
AU - Mošová, Vratislava
TI - Wavelets and prediction in time series
T2 - Programs and Algorithms of Numerical Mathematics
PY - 2015
CY - Prague
PB - Institute of Mathematics AS CR
SP - 156
EP - 162
AB - Wavelets (see [2, 3, 4]) are a recent mathematical tool that is applied in signal processing, numerical mathematics and statistics. The wavelet transform allows to follow data in the frequency as well as time domain, to compute efficiently the wavelet coefficients using fast algorithm, to separate approximations from details. Due to these properties, the wavelet transform is suitable for analyzing and forecasting in time series. In this paper, Box-Jenkins models (see [1, 5]) combined with wavelets are used to the prediction of a time series behavior. The described method is demonstrated on an example from practice in the conclusion.
KW - wavelets; time-series; ARIMA; modelling inflation
UR - http://eudml.org/doc/269928
ER -