Application of wavelet decomposition in time-series forecasting

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...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Economics letters 2017-09, Vol.158, p.41-46
Hauptverfasser:	Zhang, Keyi, Gençay, Ramazan, Ege Yazgan, M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Aggregate data Combining forecasts Economic forecasting Equality Forecasting Hierarchical time series Reconciling forecasts Time series Wavelet decomposition Wavelet transforms
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!