Time Series Forecasting Using Wavelet Denoising an Application to Saudi Stock Index

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ID: 69821
2002
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Abstract
In recent years, wavelet transform has become very popular in many application areas such as physics, engineering, biomedical, signal processing, mathematics, and statistics. In this paper, we present the role of wavelet transform in time series analysis. Saudi Stock Index (SSI) time series was used as a vehicle to highlight the benefits of wavelet transform usage in time series analysis in general and in time series denoising, in particular. SSI was modeled as a deterministic function plus random noise (white or colored). Different denoising techniques were considered with Haar, Daubechies’, and Biorthogonal wavelets. Several Forecasting models of SSI were developed for original and denoised series. Namely, Linear Regression (LR), Simple Moving Average (SMA), Exponential Smoothing (ES), Autoregressive (AR), and Autoregressive Moving Average (ARMA). Computational results have shown that more information could be exploited from SSI when it is decomposed into several series with different resolutions using wavelet transform. Moreover, forecasting errors of SSI can be substantially reduced when the index was first denoised using soft thresholding with white noise assumption. Keywords: Wavelet transform, denoising, forecasting
Reference Key
alrumaih2002timejournal Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Alrumaih, Rumaih M.;Al-Fawzan, Mohammad A.;
Journal journal of king saud university: engineering sciences
Year 2002
DOI
DOI not found
URL
http://www.sciencedirect.com/science/article/pii/S1018363918307554
Keywords
chemistry Biology (General) Chemical technology Engineering (General). Civil engineering (General) Technology Science Medical emergencies. Critical care. Intensive care. First aid physics environmental effects of industries and plants renewable energy sources environmental sciences physical geography mathematics industrial engineering. management engineering

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