On neuro-wavelet modeling

@article{Murtagh2004OnNM,
  title={On neuro-wavelet modeling},
  author={Fionn Murtagh and Jean-Luc Starck and Olivier Renaud},
  journal={Decision Support Systems},
  year={2004},
  volume={37},
  pages={475-484}
}
We survey a number of applications of the wavelet transform in time series prediction. The Haar à trous wavelet transform is proposed as a means of handling time series data when future data is unknown. Results are exemplified on financial futures and S&P500 data. Nonlinear and linear multiresolution autoregression models are studied. Experimentally, we show that multiresolution approaches can outperform the traditional single resolution approach to modeling and prediction. 
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