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Multiscale Forecasting Models

  • Lida Mercedes┬áBarba Maggi

Table of contents

  1. Front Matter
    Pages i-xxiv
  2. Lida Mercedes Barba Maggi
    Pages 1-29
  3. Lida Mercedes Barba Maggi
    Pages 31-47
  4. Lida Mercedes Barba Maggi
    Pages 49-88
  5. Lida Mercedes Barba Maggi
    Pages 89-118
  6. Back Matter
    Pages 119-124

About this book

Introduction

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.

Keywords

Forecasting Time Series Singular Value Decomposition Hankel Matrix Artificial Neural Networks Singular Spectrum Analysis Stationary Wavelet Decomposition

Authors and affiliations

  • Lida Mercedes┬áBarba Maggi
    • 1
  1. 1.Universidad Nacional de ChimborazoRiobambaEcuador

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-94992-5
  • Copyright Information Springer International Publishing AG, part of Springer Nature 2018
  • Publisher Name Springer, Cham
  • eBook Packages Computer Science
  • Print ISBN 978-3-319-94991-8
  • Online ISBN 978-3-319-94992-5
  • Buy this book on publisher's site