Application of wavelet decomposition in time-series forecasting

C-Tier
Journal: Economics Letters
Year: 2017
Volume: 158
Issue: C
Pages: 41-46

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Observed time series data can exhibit different components, such as trends, seasonality, and jumps, which are characterized by different coefficients in their respective data generating processes. Therefore, fitting a given time series model to aggregated data can be time consuming and may lead to a loss of forecasting accuracy. In this paper, coefficients for variable components in estimations are generated based on wavelet-based multiresolution analyses. Thus, the accuracy of forecasts based on aggregate data should be improved because the constraint of equality among the model coefficients for all data components is relaxed.

Technical Details

RePEc Handle
repec:eee:ecolet:v:158:y:2017:i:c:p:41-46
Journal Field
General
Author Count
3
Added to Database
2026-01-25