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Scientific article
English

On neuro-wavelet modeling

Published inDecision Support Systems, vol. 37, no. 4, p. 475-484
Publication date2004
Abstract

We survey a number of applications of the wavelet transform in time series prediction. The Haar à trous wavelet transform is proposed as a means of handling time series data when future data is unknown. Results are exemplified on financial futures and S&P500 data. Nonlinear and linear multiresolution autoregressionmodels are studied. Experimentally, we show that multiresolution approaches can outperform the traditional single resolution approach to modeling and prediction.

Citation (ISO format)
MURTAGH, F., STARCK, J.-L., RENAUD, Olivier. On neuro-wavelet modeling. In: Decision Support Systems, 2004, vol. 37, n° 4, p. 475–484. doi: 10.1016/S0167-9236(03)00092-7
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