title: Wavelet-based combined signal filtering and prediction.
abstract: 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.
authors.affiliation: Methodology and Data Analysis, Psychology Section, University of Geneva, Switzerland.
authors.forename: Olivier
authors.initials: O
authors.lastname: Renaud
authors.forename: Jean-Luc
authors.initials: JL
authors.lastname: Starck
authors.forename: Fionn
authors.initials: F
authors.lastname: Murtagh
mesh_terms: D000465:Algorithms; D003198:Computer Simulation; D015233:Models, Statistical; D012044:Regression Analysis; D012815:Signal Processing, Computer-Assisted; D013269:Stochastic Processes; D013997:Time Factors