Multiscale forecasting models /
Saved in:
Author / Creator: | Barba Maggi, Lida Mercedes, author. |
---|---|
Imprint: | Cham, Switzerland : Springer, [2018] |
Description: | 1 online resource (xxiv, 124 pages) : 91 illustrations (89 in color) |
Language: | English |
Subject: | |
Format: | E-Resource Book |
URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12415473 |
ISBN: | 9783319949925 3319949926 9783319949918 3319949918 9783319949932 3319949934 9783030069506 3030069508 |
---|---|
Digital file characteristics: | text file PDF |
Notes: | Includes bibliographical references. Description based on resource, viewed January 8, 2021. |
Summary: | 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. |
Other form: | Printed edition: 9783319949918 |
Standard no.: | 10.1007/978-3-319-94992-5. 10.1007/978-3-319-94 |
Similar Items
-
Time series analysis, modeling and applications : a computational intelligence perspective /
Published: (2013) -
Long-memory processes : probabilistic properties and statistical methods /
Published: (2013) -
Nonlinear mode decomposition : theory and applications /
by: Iatsenko, Dmytro
Published: (2015) -
Singular spectrum analysis for time series /
by: Golyandina, Nina
Published: (2013) -
Practical experiences with modelling and forecasting time series /
by: Jenkins, Gwilym M.
Published: (1979)