The long-term memory prediction by multiscale decomposition
Signal Processing - Special section on signal processing technologies for short burst wireless communications
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A method of processing financial data based on wavelet transformation is presented. The data of the financial is essentially an unfixed time sequence. Based on the wavelet transform, the series obtained after decomposition contains information. Basically, the wavelet decomposition uses a pair of filters to decompose iteratively the original time series. It results in a hierarchy of new time series that are easier to model and predict. Regarded as a signal, the time sequence is decomposed into different frequency channels (as a filtering step) .These filters must satisfy some constraints such as causality, information lossless, etc. And reconstruction is used to analyze and forecast the time sequence. Examples show that the new method is more effective than the traditional AR model forecast in some aspects.