Adaptive forecasting of wave non-periodic time series.(Brief Article)

The forecasting problem of wave financial time series is considered. In practice of econometric forecasting of financial processes, real time series are of a complex structure described by the composition of non-periodic oscillating functions. The proposed approach for adaptive wave forecasting uses the idea of harmonic structure analysis of wave time series represented as a number of harmonic superposition with tuning frequencies. The proposed forecasting method is based on the special autoregressive representation of wave time series and both frequencies and amplitudes of partial harmonics estimation. The peculiarities of the method are the initial time-series decomposition …