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 non-stationary 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.
|Translated title of the contribution||Forecasting non-stationary time series by wavelet process modelling|
|Pages (from-to)||737 - 764|
|Number of pages||28|
|Journal||Annals of the Institute of Statistical Mathematics|
|Publication status||Published - Dec 2003|
Bibliographical notePublisher: Springer
Other identifier: IDS number 764YT