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Multiscale Forecasting Models

Multiscale Forecasting Models

Hardcover

AlgebraApplicationsGeneral Computers

ISBN10: 3319949918
ISBN13: 9783319949918
Publisher: Springer Nature
Published: Aug 31 2018
Pages: 124
Weight: 0.86
Height: 0.38 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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