USING WAVELETS AND SPLINES TO FORECAST NON-STATIONARY TIME SERIES

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AMIN GHAFARI MINA; ROOSTA SHOKOUFEH

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Paper Information

Journal: JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI) Year:2010 | Volume:7 | Issue:2 Page(s): 213-222

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Title

USING WAVELETS AND SPLINES TO FORECAST NON-STATIONARY TIME SERIES

Author(s)

AMIN GHAFARI MINA | ROOSTA SHOKOUFEH | Issue Writer Certificate

Keywords

WAVELET TRANSFORMQ1

SPLINESQ1

FORECASTINGQ2

NON-STATIONARY TIME SERIESQ1

Abstract

This paper deals with a short term FORECASTING NON-STATIONARY TIME SERIES using wavelets and SPLINES. Wavelets can decompose the series as the sum of two low and high frequency components. Aminghafari and Poggi (2007) proposed to predict high frequency component by wavelets and extrapolate low frequency component by local polynomial fitting. We propose to forecast non-stationary process using SPLINES based on this procedure. This method is applied to forecast simulated data and electricity load consumption of two regions. Result of the study show, the proposed method performance is better than the local polynomial fitting.

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APA: Copy

AMIN GHAFARI, MINA, & ROOSTA, SHOKOUFEH. (2010). USING WAVELETS AND SPLINES TO FORECAST NON-STATIONARY TIME SERIES. JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI), 7(2), 213-222. SID. https://sid.ir/paper/129945/en

Vancouver: Copy

AMIN GHAFARI MINA, ROOSTA SHOKOUFEH. USING WAVELETS AND SPLINES TO FORECAST NON-STATIONARY TIME SERIES. JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI)[Internet]. 2010;7(2):213-222. Available from: https://sid.ir/paper/129945/en

IEEE: Copy

MINA AMIN GHAFARI, and SHOKOUFEH ROOSTA, “USING WAVELETS AND SPLINES TO FORECAST NON-STATIONARY TIME SERIES,” JOURNAL OF STATISTICAL RESEARCH OF IRAN (JSRI), vol. 7, no. 2, pp. 213–222, 2010, [Online]. Available: https://sid.ir/paper/129945/en

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