Wavelets in the prediction of short-time series

Abstract

The aim of this article is to present original application wavelets to the prediction of short-term of time series. The model proposed to predict short-term time series (in particular for predicting macroeconomic indicators) is a model of copyright. The model is based on wavelet analysis, the Haar wavelet, the Daubechies wavelet and adaptive models. The Daubechies wavelets are a family of orthogonal wavelets and are characterized by a maximal number of vanishing moments for some given support. Adaptive models have been appropriately modified by the introduction of a wavelet function and combined into one predictive model. The results obtained from the study results indicate that the authorial model is an effective tool for short-term predictions. The model was applied to predict macroeconomic indicators.

Approximating Financial Time Series with Wavelets

“…Innovative algorithms will be extended by different algorithms, including those presented in (Biernacki 2007(Biernacki , 2009). Other analyses of wavelet analysis are presented, among others, in (Hadaś-Dyduch 2015, 2016b, 2016c, which also presents comparative analyses and interesting conclusions.…”

“…Wavelets are basic functions for the wavelet transform (see Hadaś-Dyduch 2015, 2016a, 2016b, Hadaś-Dyduch, Balcerzak & Pietrzak 2016. As previously mentioned, the wavelet transform is a transformation similar to Fourier transform, thus "(...) wavelet coefficients can be calculated in the same way as Fourier coefficients, by using basis functions in an inner product calculation.…”

Nonlinear Alleviation of Edge Effects in the Context of Minimizing Prediction Errors

“…The study will use results from earlier studies, as well as some interesting methods used so far in other tests, for example (Akbalik & Tunay, 2016;Hadaś-Dyduch, 2014a, 2015b.…”

“…2). Daubechies, 1992;Hadaś-Dyduch 2014a, 2015a, 2015b, 2015c, 2016aHadaś-Dyduch & Hadaś, 2017)) from:…”

Efficiency of Authored Mixed Prediction Model with Application to the Labor Market

“…Among models based on mathematical formulas expressed explicitly, we can identify, among others, nonparametric estimators and neural predictors (see: Biernacki, 2009). Other interesting models are those based on neural networks and wavelet analysis (see: Daubechies 1989, Hadaś-Dyduch, 2014, 2015a, 2015b, 2015c, 2016a, 2016b, 2016cMeyer, Sellan & Taqqu, 1999, Vidakovic, Mueller, 1994. Also interesting are algorithms that use ARIMA, ARMA.…”