一种基于小波分析理论的灰色预测方法

A method of grey forecasting based on wavelet analysis theory

提出一种基于小波分析理论的灰色预测方法.该方法通过小波分解将非平稳时间序列分解到多个尺度上以减少序列的随机性,然后建立灰色预测模型对分解后的时间序列分别进行预测,从而得到原始时间序列的预测值.并通过对上证指数的预测,结果表明该方法预测效果良好,优于一般灰色预测方法.

Based on wavelet analysis theory, a method of grey forecasting is proposed. The random properties of some non-stationary time series can be reduced by wavelet decomposition into many series according to scale. Decomposed time series are forecast with grey forecasting model to obtain forecasting results of the original time series. Experiments with Shanghai stock market show that the method gives prediction values better than those by common grey forecasting method.