A scale-space-based system for time series prediction

Authors:
Xiaoyong Hou;Baojiang Zhong
Affiliations:
School of Computer Science and Technology, Soochow University, Suzhou, China;School of Computer Science and Technology, Soochow University, Suzhou, China
Venue:
IScIDE'12 Proceedings of the third Sino-foreign-interchange conference on Intelligent Science and Intelligent Data Engineering
Year:
2012

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Abstract

Time series prediction is significant for various economical and financial applications. In this research the scale-space concept in computer vision is employed to construct a novel prediction system. The main idea is to process the time series data by wavelet and obtain data under different scales. Then the corresponding data sequence is transformed into a series of windows at every scale. Windows the most similar to the reference one are searched, with which the prediction value is computed. Finally, simulation results are presented.