A Wavelet Based Prediction Method for Time Series

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Cristina Stolojescu Alexandru Isar Politehnica University Timisoara, Romania Ion Railean Technical University Cluj-Napoca, Romania Sorin Moga Philippe Lenca Institut TELECOM, TELECOM Bretagne, France Stochastic Modeling Techniques and Data Analysis International Conference, Chania, Crete. 8-11 June 2010 1 / 20

Contents 1 Subject 2 Objectives 3 Introduction 4 Wavelet Analyis 5 Forecasting framework 6 Forecasting methodologies 7 Results 2 / 20

Subject Wavelet-based forecasting method for time series. Multi-resolution decomposition of the signal implemented using the Stationary Wavelet Transform. four prediction methods: Artificial Neural Networks ARIMA Linear regression Random walk. 3 / 20

Context of study Time-series forecasting Two types of real data series: WiMAX network traffic data. 8 weeks of complete data 67 Base Stations financial data- the total number of EUR-USD currency exchanges. 15 weeks of complete data 1 data set 4 / 20

Objectives to evaluate the best prediction method. to evaluate the prediction accuracy by using different types of mother wavelets. 5 / 20

Introduction Forecasting = the process of estimation in unknown situations based on the study of the past data behavior over time, in order to take decisions. Time-series forecasting : the historical values are collected and analyzed in order to develop a model describing the behavior of the series. If the time series are non-stationary an efficient way is to use the wavelet decomposition technique in the preprocessing step. 6 / 20

Wavelet Analysis Wavelets provide a useful decomposition of the time series, in terms of both time and frequency. Wavelets are localized in time (or space) which makes them suitable for analyzing non-stationary signals. Multi-resolution analysis (MRA) = signal processing technique that takes into account the signal s representation at multiple time resolutions. We have implemented the MRA using à trous algorithm, which corresponds to the computation of the Stationary Wavelet Transform (SWT). 7 / 20

The Stationary Wavelet Transform two parameters: the mother wavelet which generates the decomposition. the number of decomposition levels. The SWT decomposition tree: 8 / 20

Forecasting framework Our forecasting framework is presented in the next figure: 9 / 20

Forecasting methodologies Artificial Neural Networks. the basic idea is to train the ANN with past data and then to use it to predict future values. we used Time-delayed neural networks(tdnn). ARIMA processes. are the natural generalizations of ARMA processes. are based on Box-Jenkins methodology. Linear Regression. represent a simple statistical tool for modeling the output as a linear combination of the input. Random walk. are based on the hypothesis that from one period to the next, the original time series takes a random step away from its last recorded position. 10 / 20

Evaluation criteria X t - original data values, X t - mean of X t, F t - predicted values To evaluate the prediction performance between ANNs and genetically optimized ANNs, we used the following evaluation criteria: 11 / 20

Evaluation criteria X t - original data values, X t - mean of X t, F t - predicted values To evaluate the prediction performance between ANNs and genetically optimized ANNs, we used the following evaluation criteria: Symmetrical Mean Absolute Percentage Error (SMAPE) SMAPE = 2 n n t=1 X t F t (X t + F t ) 11 / 20

Evaluation criteria X t - original data values, X t - mean of X t, F t - predicted values To evaluate the prediction performance between ANNs and genetically optimized ANNs, we used the following evaluation criteria: Symmetrical Mean Absolute Percentage Error (SMAPE) SMAPE = 2 n n t=1 X t F t (X t + F t ) R-Square (RSQ) n R 2 t=1 = (F t F t ) 2 n t=1 (X t X t ) 2 11 / 20

Original data Wimax traffic data 8 weeks of complete data 67 Base Stations up-link and down-link (bytes and packets) sampled each 15 minutes 12 / 20

Original data financial data 15 weeks of complete data sampled each 15 minutes 13 / 20

Comparison between wavelets, WiMAX traffic. wavelet families: Daubechies, Coiflet, Symmlet, Biorthogonal and Reverse Biorthogonal. Wavelet RSQ SMAPE MAPE MSE RMSE MAE SMAPE L MAPE L MAE L coif 1 1.445 1.09 0.2113 11.72 2.80 1.0304 0.890 0.0020 0.9599 coif 2 1.493 1.22 0.2285 12.95 2.83 0.8748 0.837 0.0019 0.7191 db 1 1.168 1.08 0.2367 8.06 2.43 0.7685 0.812 0.0016 0.7327 db 2 1.364 1.15 0.2451 10.52 2.69 0.8408 0.855 0.0019 0.7768 db 3 1.358 1.12 0.2117 9.76 2.64 0.8193 0.857 0.0018 0.7678 db 4 1.490 1.11 0.2159 10.61 2.58 0.7985 0.834 0.0018 0.7563 db 5 1.435 1.11 0.2190 12.56 2.75 0.8339 0.823 0.0019 0.7730 bior 3.1 0.695 1.13 0.3152 9.86 2.52 84020 0.860 0.0018 0.7071 rbio 1.1 1.200 1.08 0.2215 10.00 2.61 0.7948 0.820 0.0017 0.8947 rbio 2.2 1.482 1.19 0.3202 10.29 2.71 0.8747 0.891 0.0018 0.7690 rbio 3.3 1.952 1.21 0.2623 10.33 2.88 0.9509 0.907 0.0022 1.0690 sym 2 1.365 1.26 0.2146 13.20 2.89 0.8854 0.895 0.0019 0.7412 Table: Comparison between wavelets, WiMAX traffic. 14 / 20

Comparison between wavelets, financial data Wavelet RSQ SMAPE MAPE MSE RMSE MAE SMAPE L MAPE L MAE L coif 1 0.688 0.556 0.1152 1.627 1.220 0.3586 0.516 0.0821 0.4240 coif 2 0.455 0.522 0.0793 1.089 1.038 0.2967 0.453 0.0732 0.3799 db 1 0.625 0.520 0.0839 1.356 1.126 0.3175 0.454 0.0713 0.3690 db 2 0.715 0.578 0.1088 1.610 1.219 0.3550 0.497 0.0812 0.4199 db 3 0.586 0.585 0.1156 1.499 1.188 0.3618 0.531 0.0864 0.4461 db 4 0.871 0.600 0.1114 1.604 1.239 0.3745 0.527 0.0863 0.4459 db 5 0.808 0.587 0.1121 1.557 1.225 0.3700 0.546 0.0912 0.4710 bior 3.1 0.628 0.534 0.1137 1.552 1.173 0.3390 0.433 0.0712 0.3681 rbio 1.1 0.615 0.519 0.0958 1.286 1.096 0.3208 0.457 0.0716 0.3704 rbio 2.2 0.541 0.555 0.1087 1.440 1.149 0.3406 0.491 0.0790 0.4081 rbio 3.3 0.772 0.595 0.0993 1.418 1.167 0.3480 0.455 0.0716 0.3705 sym 2 0.476 0.499 0.0890 1.117 1.037 0.2962 0.453 0.0736 0.3813 Table: Comparison between wavelets, EUR-USD currency exchanges. 15 / 20

Results We propose the following methods for two weeks prediction: three types of methods based on ANN ANN No Sliding ANN Known Sliding ANN UnKnown Sliding ARIMA Linear Regression Random walk 16 / 20

Forecasting techniques comparison In the case of WiMAX traffic, the comparison was made using Daubechies1 mother wavelets. Forecasting Model SMAPE L MAPE L MAE L ANN No Sliding 0.472 0.0011 0.4428 ANN Known Sliding 0.509 0.0009 0.4241 ANN UnKnown Sliding 0.722 0.0017 0.6681 ARIMA 0.772 0.0027 0.9990 Linear Regression 0.523 0.0031 0.3868 Random Walk using Wavelets 4.440 0.0030 1.3633 Table: Forecasting techniques comparison for WiMAX traffic. 17 / 20

Forecasting techniques comparison For the financial data base, we used the Coiflet2 mother wavelets. Forecasting Model SMAPE L MAPE L MAE L ANN No Sliding 0.169 0.020 0.1079 ANN Known Sliding 0.153 0.0178 0.957 ANN UnKnown Sliding 0.267 0.0344 0.1812 ARIMA 1.135 0.3245 1.7054 Linear Regression 0.191 0.0243 0.1109 Random Walk using Wavelets 0.940 0.2670 1.4173 Table: Forecasting techniques comparison for financial data. 18 / 20

Conclusions Regarding the Wavelet transform, our results show that Haar (Daubechies1) and Reverse biorthogonal 1 improve the performance of the prediction technique. as much the support of the mother wavelets increases, the performance of the wavelet transform deteriorates ANN outperforms the other forecasting methods. Our model can be used for different time series. 19 / 20

Thank you for your attention! 20 / 20