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.
wavelet analyisis to denoising time series
2 messages · intertodd, Wildi Marc (wlmr)
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.