Wavelet-based combined signal filtering and prediction.
We survey a number of applications of the wavelet transform in time series prediction. We show how multiresolution prediction can capture short-range and long-term dependencies with only a few parameters to be estimated. We then develop a new multiresolution methodology for combined noise filtering and prediction, based on an approach which is similar to the Kalman filter. Based on considerable experimental assessment, we demonstrate the powerfulness of this methodology.
Renaud
Olivier
O
Methodology and Data Analysis, Psychology Section, University of Geneva, Switzerland.
Starck
Jean-Luc
JL
Murtagh
Fionn
F
D000465:Algorithms; D003198:Computer Simulation; D015233:Models, Statistical; D012044:Regression Analysis; D012815:Signal Processing, Computer-Assisted; D013269:Stochastic Processes; D013997:Time Factors