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	Modelling and forecasting by wavelets, and the application to exchange rates
	Wong, H ; Ip, WC ; Xie, ZJ ; Lui, XL
	2003
关键词	TIME-SERIES STOCHASTIC-PROCESSES IDENTIFICATION
英文摘要	This paper investigates the modelling and forecasting method for non-stationary time series. Using wavelets, the authors propose a modelling procedure that decomposes the series as the sum of three separate components, namely trend, harmonic and irregular components. The estimates suggested in this paper are all consistent. This method has been used for the modelling of US dollar against DM exchange rate data, and ten steps ahead (2 weeks) forecasting are compared with several other methods. Under the Average Percentage of forecasting Error (APE) criterion, the wavelet approach is the best one. The results suggest that forecasting based on wavelets is a viable alternative to existing methods.; Statistics & Probability; SCI(E); 16; ARTICLE; 5; 537-553; 30
语种	英语
出处	SCI
出版者	journal of applied statistics
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/255883]
专题	数学科学学院
推荐引用方式 GB/T 7714	Wong, H,Ip, WC,Xie, ZJ,et al. Modelling and forecasting by wavelets, and the application to exchange rates. 2003-01-01.

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