The Wavelet Digest Homepage
Return to the homepage
Search the complete Wavelet Digest database
Help about the Wavelet Digest mailing list
About the Wavelet Digest
The Digest The Community
 Latest Issue  Back Issues  Events  Gallery
The Wavelet Digest
   -> Volume 11, Issue 1


Preprint: Forecasting non-stationary time series by wavelet process modelling
 
images/spacer.gifimages/spacer.gif Reply into Digest
Previous :: Next  
Author Message
Sebastien Van Bellegem (vbs@stat.ucl.ac.be)
Guest





PostPosted: Tue Feb 26, 2002 2:47 pm    
Subject: Preprint: Forecasting non-stationary time series by wavelet process modelling
Reply with quote

Title: Forecasting non-stationary time series by wavelet process modelling

Authors:
Piotr Fryzlewicz
Sebastien Van Bellegem <vbs@stat.ucl.ac.be>
Rainer von Sachs <rvs@stat.ucl.ac.be>

Abstract:
Many time series in the applied sciences display a time-varying second order structure. In this article, we address the problem of how to forecast these non-stationary time series by means of non-decimated wavelets. We first consider a model in which only the variance evolves with time. We define a predictor for this model and show an application to the Dow Jones index. Then, we generalise the definition to the case of time-varying covariance using the class of Locally Stationary Wavelet processes. We introduce a new predictor based on wavelets and derive the prediction equations as a generalisation of the Yule-Walker equations. We propose an automatic computational procedure for choosing the parameters of the forecasting algorithm. Finally, we apply the general prediction algorithm to a meteorological time series.


A postscript file can be downloaded at
ftp://www.stat.ucl.ac.be/pub/papers/dp/dp02/dp0208.ps


---
Sebastien VAN BELLEGEM
Institute of Statistics
Universite catholique de Louvain
Voie du Roman Pays, 20
B-1348 Louvain-la-Neuve
Belgium

vbs@stat.ucl.ac.be
All times are GMT + 1 Hour
Page 1 of 1

 
Jump to: 
 


disclaimer - webmaster@wavelet.org
Powered by phpBB

This page was created in 0.025359 seconds : 18 queries executed : GZIP compression disabled