MODWT-ARMA model for time series prediction

DOI10.1016/J.APM.2013.10.002zbMATH Open1428.62411OpenAlexW2035876214MaRDI QIDQ1994497FDOQ1994497

Authors Yanxin Wang, Qibin Fan, L. Zhu 

Publication date 1 November 2018

Published in Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apm.2013.10.002

zbMATH Keywords

time serieswavelet transformlong-range dependentMODWT-ARMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 5864901 (Why is no real title available?)
• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• A WAVELET TRANSFER MODEL FOR TIME SERIES FORECASTING
• Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
• Choice of thresholds for wavelet shrinkage estimate of the spectrum
• On the use of the wavelet decomposition for time series prediction
• Prediction Based on a Multiscale Decomposition
• Solving fractional nonlinear Fredholm integro-differential equations by the second kind Chebyshev wavelet
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• The long-term memory prediction by multiscale decomposition.
• Time series: theory and methods.
• WAVELETS AND TIME-DEPENDENT SPECTRAL ANALYSIS
• Wavelet neural networks for nonlinear time series analysis
• Wavelets in time-series analysis

Cited in

(4)

• Systematic risk in the biopharmaceutical sector: a multiscale approach
• On parallelism in the ensemble sense between time-series models and discrete wavelet transforms of stochastic signals
• Epicasting: an ensemble wavelet neural network for forecasting epidemics
• scientific article; zbMATH DE number 7404172 (Why is no real title available?)

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Uses Software

• wmtsa

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