Message-ID: <E2339A3600811248AB525B8FAB3A1BCE8C51360E@srv-mail-101.zhaw.ch>
Date: 2013-01-09T09:05:17Z
From: Wildi Marc (wlmr)
Subject: wavelet analyisis to denoising time series
In-Reply-To: <1357714167818-4655006.post@n4.nabble.com>
Before you get involved too deeply into this application please consider that wavelets are not well-suited for the task you intend to perform (SVM forecasting).
-Wavelets are well-suited for a posteriori data-analysis in the middle of a time series
-They fail to behave well towards the sample boundaries (the last data point).
But you're free to allocate your time as you want, of course.
Marc
________________________________________
Von: r-sig-finance-bounces at r-project.org [r-sig-finance-bounces at r-project.org]" im Auftrag von "intertodd [louisinuq at yahoo.com.au]
Gesendet: Mittwoch, 9. Januar 2013 07:49
An: r-sig-finance at r-project.org
Betreff: [R-SIG-Finance] wavelet analyisis to denoising time series
Hi everyone,
Im trying to use wavelet analysis to denoising time series data(stock index)
in order to perform a SVM forecast..
like use db4, sqtwolog,4 levels...
There are a few packages avaliable with R:
wavelets: A package of funtions for computing wavelet filters, wavelet
transforms and multiresolution analyses.
waveslim: Basic wavelet routines for one-, two- and three-dimensional signal
processing.
wavethresh: Wavelets statistics and transforms.
wmtsa: Insightful Wavelet Methods for Time Series Analysis
can anyone tell me which package should I use or maybe some codes please...
thanks guys
Best Regards
Louis
--
View this message in context: http://r.789695.n4.nabble.com/wavelet-analyisis-to-denoising-time-series-tp4655006.html
Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________
R-SIG-Finance at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.