• DocumentCode
    2855146
  • Title

    Wavelet based forecasting approach, with application

  • Author

    Almasri, Abdullah ; Locking, Hakan ; Shukur, Ghazi

  • Author_Institution
    Dept. of Econ. & Stat., Vaxjo Univ., Vaxjo, Sweden
  • fYear
    2010
  • fDate
    18-20 June 2010
  • Firstpage
    104
  • Lastpage
    107
  • Abstract
    In this paper we outline a framework for forecasting using maximal overlap discrete wavelet transform (MODWT) based multiresolution analysis (MRA). This framework has been applied for forecasting the tourism arrival series from Denmark to Norway. We compare forecasted values obtained from modeling the data in the time domain with the forecasted values from the wavelet domain using the traditional Box-Jenkins methodology. In both cases, diagnostic tests have been conducted to insure the specification of the model. The results have shown that the wavelet based forecasts outperforms the traditional Box-Jenkins approach in term of forecasts accuracy.
  • Keywords
    discrete wavelet transforms; forecasting theory; travel industry; Box-Jenkins methodology; Denmark; Norway; maximal overlap discrete wavelet transform; multiresolution analysis; tourism arrival series; wavelet based forecasting approach; Demand forecasting; Econometrics; Economic forecasting; Fluctuations; Fourier transforms; Multiresolution analysis; Predictive models; Statistics; Wavelet analysis; Wavelet transforms; MODWT; MRA; WaveForecasting; Wavelet;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Financial Theory and Engineering (ICFTE), 2010 International Conference on
  • Conference_Location
    Dubai
  • Print_ISBN
    978-1-4244-7757-9
  • Electronic_ISBN
    978-1-4244-7759-3
  • Type

    conf

  • DOI
    10.1109/ICFTE.2010.5499417
  • Filename
    5499417