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:: Volume 7, Issue 2 (3-2011) ::
JSRI 2011, 7(2): 213-222 Back to browse issues page
Using Wavelets and Splines to Forecast Non-Stationary Time Series
Mina Aminghafari * , Shokoufeh Roosta
, aminghafari@aut.ac.ir
Abstract:   (1691 Views)

 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.

Keywords: . 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
Full-Text [PDF 199 kb]   (353 Downloads)    
Type of Study: Research | Subject: General
Received: 2016/01/10 | Accepted: 2016/01/10 | Published: 2016/01/10
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Aminghafari M, Roosta S. Using Wavelets and Splines to Forecast Non-Stationary Time Series. JSRI. 2011; 7 (2) :213-222
URL: http://jsri.srtc.ac.ir/article-1-86-en.html


Volume 7, Issue 2 (3-2011) Back to browse issues page
مجله‌ی پژوهش‌های آماری ایران (علمی - پژوهشی) Journal of Statistical Research of Iran JSRI
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