Wavelet-ARIMA Model for Time Series Forecasting

Noise in the time-series data significantly affects the accuracy of the ARIMA model. Wavelet transformation decomposes the time series data into subcomponents to reduce the noise and help to improve the model performance. The wavelet-ARIMA model can achieve higher prediction accuracy than the traditional ARIMA model. This package provides Wavelet-ARIMA model for time series forecasting based on the algorithm by Aminghafari and Poggi (2012) and Paul and Anjoy (2018) .


Reference manual

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install.packages("WaveletArima")

0.1.2 by Dr. Ranjit Kumar Paul, 4 years ago


Browse source code at https://github.com/cran/WaveletArima


Authors: Dr. Ranjit Kumar Paul [aut, cre] , Mr. Sandipan Samanta [aut] , Dr. Md Yeasin [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports stats, wavelets, fracdiff, forecast


Imported by hybridts.


See at CRAN