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portada Multiscale Forecasting Models
Type
Physical Book
Publisher
Author
Year
2018
Language
English
Pages
124
Format
Hardcover
ISBN13
9783319949918
Edition No.
1
Categories

Multiscale Forecasting Models

Lida Mercedes Barba Maggi (Author) · Springer · Hardcover

Multiscale Forecasting Models - Lida Mercedes Barba Maggi

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Synopsis "Multiscale Forecasting Models "

This book presents two new decomposition methods to decompose a time series in intrinsic components of low and high frequencies. The methods are based on Singular Value Decomposition (SVD) of a Hankel matrix (HSVD). The proposed decomposition is used to improve the accuracy of linear and nonlinear auto-regressive models. Linear Auto-regressive models (AR, ARMA and ARIMA) and Auto-regressive Neural Networks (ANNs) have been found insufficient because of the highly complicated nature of some time series. Hybrid models are a recent solution to deal with non-stationary processes which combine pre-processing techniques with conventional forecasters, some pre-processing techniques broadly implemented are Singular Spectrum Analysis (SSA) and Stationary Wavelet Transform (SWT). Although the flexibility of SSA and SWT allows their usage in a wide range of forecast problems, there is a lack of standard methods to select their parameters. The proposed decomposition HSVD and Multilevel SVD are described in detail through time series coming from the transport and fishery sectors. Further, for comparison purposes, it is evaluated the forecast accuracy reached by SSA and SWT, both jointly with AR-based models and ANNs.

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