NDLI: A Wavelet-Based Method for Time Series Forecasting

Content Provider	IEEE Xplore Digital Library
Author	Dominguez, G. Guevara, M. Mendoza, M. Zamora, J.
Copyright Year	2012
Description	Author affiliation: Dept. of Inf., Univ. Tec. Federico Santa Maria, Valparaiso, Chile (Dominguez, G.; Guevara, M.; Mendoza, M.; Zamora, J.)
Abstract	Usually time series are controlled by two or more data generative processes which display changes over time. Each one of these processes may be described by different models. In practice, the observed data is an aggregated view of the processes, fact which limits the effectivity of any model selection procedure. In many occasions, the data generative processes may be separated by using spectral analysis methods, reconstructing a specific part of the data by filtering bands. Then, a filtered version of the series may be forecasted, by using proper model selection procedures. In this article we explore the use of forecasting methods in the wavelet space. To do this, we decompose the time series into a number of scale time sequences by applying a discrete wavelet transform. By fitting proper ARIMA models at each resolution level, a forecasting step is conducted. Then, by applying the inverse wavelet transform, we reconstruct forecasted time series. Experimental results show the feasibility of the proposed approach.
Starting Page	91
Ending Page	94
File Size	237273
Page Count	4
File Format	PDF
ISSN	15224902
e-ISBN	9781479929382
DOI	10.1109/SCCC.2012.19
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-11-12
Publisher Place	Chile
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Wavelet transforms Time series analysis forecasting wavelets Predictive models Wavelet analysis Twitter time series spectral analysis Data models Forecasting
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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