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  1. 1 Mathematical Economics

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  1. 1 Hadaś-Dyduch M.

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  1. 1 2015

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Wavelets in the prediction of short-time series

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Hadaś-Dyduch M.
Mathematical Economics
|
2015
|
issue 11(18)
43-54
EN
The aim of this article is to present original application wavelets to the prediction of short-term of time series. The model proposed to predict short-term time series (in particular for predicting macroeconomic indicators) is a model of copyright. The model is based on wavelet analysis, the Haar wavelet, the Daubechies wavelet and adaptive models. The Daubechies wavelets are a family of orthogonal wavelets and are characterized by a maximal number of vanishing moments for some given support. Adaptive models have been appropriately modified by the introduction of a wavelet function and combined into one predictive model. The results obtained from the study results indicate that the authorial model is an effective tool for short-term predictions. The model was applied to predict macroeconomic indicators.
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