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Multiscale forecasting method using ARMAX models. (English) Zbl 1208.42013

Summary: We propose a new forecasting methodology that comprises simultaneous level-wise modeling in the wavelet domain. The WAW methodology (short for wavelet-ARMAX-Winters) uses three modeling strategies: ARMAX models capable of incorporating external inputs and model feedbacks, trigonometric regressions sensitive to seasonality effects, and Holt-Winters’ model describing trends. The comprehensive empirical analysis of the WAW method is provided, as well as the illustration on the real life problem in forecasting natural gas prices, electricity prices, and customer demand for the electric business.

MSC:

42C40 Nontrigonometric harmonic analysis involving wavelets and other special systems
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