| Article ID: | iaor2005786 |
| Country: | Netherlands |
| Volume: | 37 |
| Issue: | 4 |
| Start Page Number: | 475 |
| End Page Number: | 484 |
| Publication Date: | Sep 2004 |
| Journal: | Decision Support Systems |
| Authors: | Murtagh F., Starck J.L., Renaud O. |
| Keywords: | neural networks, datamining |
We survey a number of applications of the wavelet transform in time series prediction. The Haar á trous wavelet transform is proposed as a means of handling time series data when future data are unknown. Results are exemplified on financial futures and S&P500 data. Nonlinear and linear multiresolution autoregression models are studied. Experimentally, we show that multiresolution approaches can outperform the traditional single resolution approach to modeling and prediction.