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Forecasting non-stationary time series by wavelet process modelling

Fryzlewicz, Piotr, van Bellegem, Sébastien and von Sachs, Rainer (2003) Forecasting non-stationary time series by wavelet process modelling. Annals of the Institute of Statistical Mathematics, 55 (4). pp. 737-764. ISSN 0020-3157

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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 nonstationary time series by means of non-decimated wavelets. 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 prediction algorithm to a meteorological time series.

Item Type: Article
Official URL: http://www.springer.com/statistics/journal/10463
Additional Information: © 2003 The Institute of Statistical Mathematics
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 20 Nov 2009 14:45
URL: http://eprints.lse.ac.uk/25830/

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