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Wavelet Based Forecasting Approach, with Application
Växjö University, Faculty of Humanities and Social Sciences, School of Management and Economics. (Economics and Statistics, CAFO)
Växjö University, Faculty of Humanities and Social Sciences, School of Management and Economics. (CAFO)
Växjö University, Faculty of Humanities and Social Sciences, School of Management and Economics. (CAFO)ORCID iD: 0000-0002-3416-5896
2009 (English)In: 2009 International Conference on Financial Theory and Engineering / [ed] Patrick Kellenberger, 2009Conference paper, Published paper (Refereed)
Abstract [en]

In this paper we outline a framework for forecasting using maximal overlap discrete wavelet transform (MODWT) based multiresoulution analysis (MRA). This framework has been applied for forecasting the tourism arrival series from Denmark to Norway. We compare forecasted values obtained from modeling the data in the time domain with the forecasted values from the wavelet domain using the traditional Box-Jenkins methodology. In both cases, diagnostic tests have been conducted to insure the specification of the model. The results have shown that the wavelet based forecasts outperforms the traditional Box-Jenkins approach in term of forecasts accuracy.

Place, publisher, year, edition, pages
2009.
Keywords [en]
Wavelet; MODWT; MRA; WaveForecasting.
National Category
Economics Probability Theory and Statistics
Research subject
Economy, Economics; Statistics/Econometrics
Identifiers
URN: urn:nbn:se:vxu:diva-6785OAI: oai:DiVA.org:vxu-6785DiVA, id: diva2:287511
Conference
ICFTE 2009 - The 2009 International Conference on Financial Theory and Engineering
Available from: 2010-01-18 Created: 2010-01-18 Last updated: 2020-01-24Bibliographically approved

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Almasri, AbdullahLocking, HåkanShukur, Ghazi

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf