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On neuro-wavelet modeling

Murtagh, F.
Starck, J.-L.
Published in Decision Support Systems. 2004, vol. 37, no. 4, p. 475-484
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.
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Research group Méthodologie et analyse des données (MAD)
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MURTAGH, F., STARCK, J.-L., RENAUD, Olivier. On neuro-wavelet modeling. In: Decision Support Systems, 2004, vol. 37, n° 4, p. 475-484. https://archive-ouverte.unige.ch/unige:17373

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Deposited on : 2011-11-09

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