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Multiscale Forecasting Models

Multiscale Forecasting Models

Paperback

AlgebraApplicationsGeneral Computers

ISBN10: 3030069508
ISBN13: 9783030069506
Publisher: Springer Nature
Published: Jan 3 2019
Pages: 124
Weight: 0.48
Height: 0.32 Width: 6.14 Depth: 9.21
Language: English

This book presents two new decomposition methods to decompose a time series in intrinsic components of low and high frequencies. The methods are based on Singular Value Decomposition (SVD) of a Hankel matrix (HSVD). The proposed decomposition is used to improve the accuracy of linear and nonlinear auto-regressive models.

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