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Title

Wavelet-Based Combined Signal Filtering and Prediction

Authors
Starck, J.-L.
Murtagh, F.
Published in IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics. 2005, vol. 35, no. 6, p. 1241-1251
Abstract 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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Research group Méthodologie et analyse des données (MAD)
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RENAUD, Olivier, STARCK, J.-L., MURTAGH, F. Wavelet-Based Combined Signal Filtering and Prediction. In: IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics, 2005, vol. 35, n° 6, p. 1241-1251. https://archive-ouverte.unige.ch/unige:17372

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Deposited on : 2011-11-09

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