Combining the wavelet transform and forecasting models to predict gas forward prices

This paper presents a forecasting technique for forward energy prices, one day ahead. This technique combines a wavelet transform and forecasting models such as multi- layer perceptron, linear regression or GARCH. These techniques are applied to real data from the UK gas markets to evaluate their performance. The results show that the forecasting accuracy is improved significantly by using the wavelet transform. The methodology can be also applied to forecasting market clearing prices and electricity/gas loads.

A generative probabilistic oriented wavelet model for texture segmentation

This Letter addresses image segmentation via a generative model approach. A Bayesian network (BNT) in the space of dyadic wavelet transform coefficients is introduced to model texture images. The model is similar to a Hidden Markov model (HMM), but with non-stationary transitive conditional probability distributions. It is composed of discrete hidden variables and observable Gaussian outputs for wavelet coefficients. In particular, the Gabor wavelet transform is considered. The introduced model is compared with the simplest joint Gaussian probabilistic model for Gabor wavelet coefficients for several textures from the Brodatz album [1]. The comparison is based on cross-validation and includes probabilistic model ensembles instead of single models. In addition, the robustness of the models to cope with additive Gaussian noise is investigated. We further study the feasibility of the introduced generative model for image segmentation in the novelty detection framework [2]. Two examples are considered: (i) sea surface pollution detection from intensity images and (ii) image segmentation of the still images with varying illumination across the scene.

Short-term electricity demand and gas price forecasts using wavelet transforms and adaptive models

This paper presents some forecasting techniques for energy demand and price prediction, one day ahead. These techniques combine wavelet transform (WT) with fixed and adaptive machine learning/time series models (multi-layer perceptron (MLP), radial basis functions, linear regression, or GARCH). To create an adaptive model, we use an extended Kalman filter or particle filter to update the parameters continuously on the test set. The adaptive GARCH model is a new contribution, broadening the applicability of GARCH methods. We empirically compared two approaches of combining the WT with prediction models: multicomponent forecasts and direct forecasts. These techniques are applied to large sets of real data (both stationary and non-stationary) from the UK energy markets, so as to provide comparative results that are statistically stronger than those previously reported. The results showed that the forecasting accuracy is significantly improved by using the WT and adaptive models. The best models on the electricity demand/gas price forecast are the adaptive MLP/GARCH with the multicomponent forecast; their MSEs are 0.02314 and 0.15384 respectively.

From cardinal spline wavelet bases to highly coherent dictionaries

Wavelet families arise by scaling and translations of a prototype function, called the mother wavelet. The construction of wavelet bases for cardinal spline spaces is generally carried out within the multi-resolution analysis scheme. Thus, the usual way of increasing the dimension of the multi-resolution subspaces is by augmenting the scaling factor. We show here that, when working on a compact interval, the identical effect can be achieved without changing the wavelet scale but reducing the translation parameter. By such a procedure we generate a redundant frame, called a dictionary, spanning the same spaces as a wavelet basis but with wavelets of broader support. We characterize the correlation of the dictionary elements by measuring their 'coherence' and produce examples illustrating the relevance of highly coherent dictionaries to problems of sparse signal representation.

The detection of p-waves in ambulatory ECG recordings by the use of wavelet transforms

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Rotation invariant iris feature extraction using Gaussian Markov random fields with non-separable wavelet

Rotation invariance is important for an iris recognition system since changes of head orientation and binocular vergence may cause eye rotation. The conventional methods of iris recognition cannot achieve true rotation invariance. They only achieve approximate rotation invariance by rotating the feature vector before matching or unwrapping the iris ring at different initial angles. In these methods, the complexity of the method is increased, and when the rotation scale is beyond the certain scope, the error rates of these methods may substantially increase. In order to solve this problem, a new rotation invariant approach for iris feature extraction based on the non-separable wavelet is proposed in this paper. Firstly, a bank of non-separable orthogonal wavelet filters is used to capture characteristics of the iris. Secondly, a method of Markov random fields is used to capture rotation invariant iris feature. Finally, two-class kernel Fisher classifiers are adopted for classification. Experimental results on public iris databases show that the proposed approach has a low error rate and achieves true rotation invariance. © 2010.

Double-Wavelet Neuron Based on Analytical Activation Functions

In this paper a new double-wavelet neuron architecture obtained by modification of standard wavelet neuron, and its learning algorithm are proposed. The offered architecture allows to improve the approximation properties of wavelet neuron. Double-wavelet neuron and its learning algorithm are examined for forecasting non-stationary chaotic time series.

Segmentation of a Speech Signal with Application of Fast Wavelet Transformation

The article describes the method of preliminary segmentation of a speech signal with wavelet transformation use, consisting of two stages. At the first stage there is an allocation of sibilants and pauses, at the second – the further segmentation of the rest signal parts.

Outliers Resistant Learning Algorithm for Radial-basis-fuzzy-wavelet-neural Network in Stomach Acute Injury Diagnosis Tasks

In this paper an outliers resistant learning algorithm for the radial-basis-fuzzy-wavelet-neural network based on R. Welsh criterion is proposed. Suggested learning algorithm under consideration allows the signals processing in presence of significant noise level and outliers. The robust learning algorithm efficiency is investigated and confirmed by the number of experiments including medical applications.

Application of Wavelet Decomposition to Document Line Segmentation

ACM Computing Classification System (1998): I.7, I.7.5.

Content-Based Image Retrieval for Computer Tomography Images Using Wavelet Descriptors

An approach to building a CBIR-system for searching computer tomography images using the methods of wavelet-analysis is presented in this work. The index vectors are constructed on the basis of the local features of the image and on their positions. The purpose of the proposed system is to extract visually similar data from the individual personal records and from analogous analysis of other patients.

Wavelet packet decomposition-based fault diagnosis scheme for SRM drives with a single current sensor

Power converters are a key, but vulnerable component in switched reluctance motor (SRM) drives. In this paper, a new fault diagnosis scheme for SRM converters is proposed based on the wavelet packet decomposition (WPD) with a dc-link current sensor. Open- and short-circuit faults of the power switches in an asymmetrical half-bridge converter are analyzed in details. In order to obtain the fault signature from the phase currents, two pulse-width modulation signals with phase shift are injected into the lower-switches of the converter to extract the excitation current, and the WPD algorithm is then applied to the detected currents for fault diagnosis. Moreover, a discrete degree of the wavelet packet node energy is chosen as the fault coefficient. The converter faults can be diagnosed and located directly by determining the changes in the discrete degree from the detected currents. The proposed scheme requires only one current sensor in the dc link, while conventional methods need one sensor for each phase or additional detection circuits. The experimental results on a 750-W three-phase SRM are presented to confirm the effectiveness of the proposed fault diagnosis scheme.

Az olajár és a makrogazdaság kapcsolatának elemzése folytonos wavelet transzformáció segítségével

Az empirikus makrogazdasági elemzések során rendszerint idősorok vizsgálatára szorítkozunk, ugyan-akkor egyre több tanulmány jut arra a következtetésre, hogy a frekvenciatartományok szintjén zajló folyama-tok megértése is szükséges ahhoz, hogy pontosabb képet nyerjünk a változók közötti kapcsolat irányáról, erősségéről, dinamikájáról. Jelen dolgozat célja, hogy az idő és frekvenciatérben történő elemzést biztosító folytonos wavelet transzformációk és az ezekhez kapcsolódó wavelet koherencia használatával bemutassa a svéd és a norvég gazdaság inflációs, ipari kibocsátás és GDP-mutatóinak az olajárral való együttmozgását. Az eredmények alapján a folytonos waveletekkel történő elemzés hasznos kiegészítést nyújt a szokásos idősoros technikák mellé, új, korábban nem ismert összefüggések feltárására is alkalmas lehet.

High performance shift invariant motion estimation and compensation in wavelet domain video compression

The contributions of this dissertation are in the development of two new interrelated approaches to video data compression: (1) A level-refined motion estimation and subband compensation method for the effective motion estimation and motion compensation. (2) A shift-invariant sub-decimation decomposition method in order to overcome the deficiency of the decimation process in estimating motion due to its shift-invariant property of wavelet transform. ^ The enormous data generated by digital videos call for an intense need of efficient video compression techniques to conserve storage space and minimize bandwidth utilization. The main idea of video compression is to reduce the interpixel redundancies inside and between the video frames by applying motion estimation and motion compensation (MEMO) in combination with spatial transform coding. To locate the global minimum of the matching criterion function reasonably, hierarchical motion estimation by coarse to fine resolution refinements using discrete wavelet transform is applied due to its intrinsic multiresolution and scalability natures. ^ Due to the fact that most of the energies are concentrated in the low resolution subbands while decreased in the high resolution subbands, a new approach called level-refined motion estimation and subband compensation (LRSC) method is proposed. It realizes the possible intrablocks in the subbands for lower entropy coding while keeping the low computational loads of motion estimation as the level-refined method, thus to achieve both temporal compression quality and computational simplicity. ^ Since circular convolution is applied in wavelet transform to obtain the decomposed subframes without coefficient expansion, symmetric-extended wavelet transform is designed on the finite length frame signals for more accurate motion estimation without discontinuous boundary distortions. ^ Although wavelet transformed coefficients still contain spatial domain information, motion estimation in wavelet domain is not as straightforward as in spatial domain due to the shift variance property of the decimation process of the wavelet transform. A new approach called sub-decimation decomposition method is proposed, which maintains the motion consistency between the original frame and the decomposed subframes, improving as a consequence the wavelet domain video compressions by shift invariant motion estimation and compensation. ^

Principal component and second generation wavelet analysis of Treasury yield curve evolution

Prices of U.S. Treasury securities vary over time and across maturities. When the market in Treasurys is sufficiently complete and frictionless, these prices may be modeled by a function time and maturity. A cross-section of this function for time held fixed is called the yield curve; the aggregate of these sections is the evolution of the yield curve. This dissertation studies aspects of this evolution. ^ There are two complementary approaches to the study of yield curve evolution here. The first is principal components analysis; the second is wavelet analysis. In both approaches both the time and maturity variables are discretized. In principal components analysis the vectors of yield curve shifts are viewed as observations of a multivariate normal distribution. The resulting covariance matrix is diagonalized; the resulting eigenvalues and eigenvectors (the principal components) are used to draw inferences about the yield curve evolution. ^ In wavelet analysis, the vectors of shifts are resolved into hierarchies of localized fundamental shifts (wavelets) that leave specified global properties invariant (average change and duration change). The hierarchies relate to the degree of localization with movements restricted to a single maturity at the base and general movements at the apex. Second generation wavelet techniques allow better adaptation of the model to economic observables. Statistically, the wavelet approach is inherently nonparametric while the wavelets themselves are better adapted to describing a complete market. ^ Principal components analysis provides information on the dimension of the yield curve process. While there is no clear demarkation between operative factors and noise, the top six principal components pick up 99% of total interest rate variation 95% of the time. An economically justified basis of this process is hard to find; for example a simple linear model will not suffice for the first principal component and the shape of this component is nonstationary. ^ Wavelet analysis works more directly with yield curve observations than principal components analysis. In fact the complete process from bond data to multiresolution is presented, including the dedicated Perl programs and the details of the portfolio metrics and specially adapted wavelet construction. The result is more robust statistics which provide balance to the more fragile principal components analysis. ^