[R-SIG-Finance] wavelet analyisis to denoising time series

[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



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