Forecasting non-stationary time series by wavelet process modelling

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.