Wavelet decomposition for time series: Determining input model by using mRMR criterion

Budi WARSİTO; Subanar SUBANAR; Abdurakhman ABDURAKHMAN

Makale detayları

Wavelet decomposition for time series: Determining input model by using mRMR criterion

Yazarlar:

Budi WARSİTO | Subanar SUBANAR | Abdurakhman ABDURAKHMAN

Yayıncı:

Hacettepe University

Ana Başlıklar:

Analiz

Dergi:

Hacettepe Journal of Mathematics and Statistics 2015 Vol.44 Issue 1, pp.229-238

Belge Tipi:

Makale

Yayın Tarihi:

1/2015

Belge Dili:

İngilizce

Document ID (Org No.):

2000453186

Sıklık:

İki Aylık

eISSN:

2651-477X

pISSN:

2651-477X

Özet:

 

Determining the level of decomposition and coefficients used as input in
the wavelet modeling for time series has become an interesting problem
in recent years. In this paper, the detail and scaling coefficients that
would be candidates of input determined based on the value of Mutual
Information. Coefficients generated through decomposition with Maximal Overlap Discrete Wavelet Transform (MODWT) were sorted by
Minimal Redundancy Maximal Relevance (mRMR) criteria, then they
were performed using an input modeling that had the largest value
of Mutual Information in order to obtain the predicted value and the
residual of the initial (unrestricted) model. Input was then added one
based on the ranking of mRMR. If additional input no longer produced
a significant decrease of the residual, then process was stopped and the
optimal model was obtained. This technique proposed was applied in
both generated random and financial time series data.

Makale detayları

Wavelet decomposition for time series: Determining input model by using mRMR criterion

Yazarlar: Budi WARSİTO | Subanar SUBANAR | Abdurakhman ABDURAKHMAN

Yayıncı: Hacettepe University

Ana Başlıklar: Analiz

Dergi: Hacettepe Journal of Mathematics and Statistics 2015 Vol.44 Issue 1, pp.229-238

Belge Tipi: Makale

Yayın Tarihi: 1/2015

Belge Dili: İngilizce

Document ID (Org No.): 2000453186

Sıklık: İki Aylık

eISSN: 2651-477X

pISSN: 2651-477X

Sayı

Yazarlar:

Budi WARSİTO | Subanar SUBANAR | Abdurakhman ABDURAKHMAN

Yayıncı:

Hacettepe University

Ana Başlıklar:

Analiz

Dergi:

Hacettepe Journal of Mathematics and Statistics 2015 Vol.44 Issue 1, pp.229-238

Belge Tipi:

Makale

Yayın Tarihi:

1/2015

Belge Dili:

İngilizce

Document ID (Org No.):

2000453186

Sıklık:

İki Aylık

eISSN:

2651-477X

pISSN:

2651-477X