Type: Package
Title: Wavelet-SVR Hybrid Model for Time Series Forecasting
Version: 0.1.0
Author: Ranjit Kumar Paul [aut, cre], Md Yeasin [aut]
Maintainer: Ranjit Kumar Paul <ranjitstat@gmail.com>
Description: The main aim of this package is to combine the advantage of wavelet and support vector machine models for time series forecasting. This package also gives the accuracy measurements in terms of RMSE and MAPE. This package fits the hybrid Wavelet SVR model for time series forecasting The main aim of this package is to combine the advantage of wavelet and Support Vector Regression (SVR) models for time series forecasting. This package also gives the accuracy measurements in terms of Root Mean Square Error (RMSE) and Mean Absolute Prediction Error (MAPE). This package is based on the algorithm of Raimundo and Okamoto (2018) <doi:10.1109/INFOCT.2018.8356851>.
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.1.2
Imports: stats, wavelets, fracdiff, forecast, e1071, tsutils
NeedsCompilation: no
Packaged: 2022-01-05 11:33:17 UTC; yeasi
Repository: CRAN
Date/Publication: 2022-01-06 10:00:08 UTC

Wavelet Transform Using Maximal Overlap Discrete Wavelet Transform (MODWT) Algorithm

Description

Transforms the time series data by using hybrid MODWT algorithm.

Usage

WaveletFitting(
  ts,
  Wvlevels,
  WFilter = "haar",
  bndry = "periodic",
  FFlag = TRUE
)

Arguments

ts

Univariate time series

Wvlevels

The level of wavelet decomposition

WFilter

Wavelet filter use in the decomposition

bndry

The boundary condition of wavelet decomposition:'periodic' or 'reflection'

FFlag

The FastFlag condition of wavelet decomposition: True or False

Value

References

Examples

data<-rnorm(100,mean=100,sd=50)
Wavelet<-WaveletFitting(ts=data,Wvlevels=3,WFilter='haar',bndry='periodic',FFlag=TRUE)

Wavelet-SVR Hybrid Model for Forecasting

Description

The main aim of this package is to combine the advantage of wavelet and Support Vector Regression (SVR) models for time series forecasting. This package also gives the accuracy measurements in terms of Root Mean Square Error (RMSE) and Mean Absolute Prediction Error (MAPE).

Usage

WaveletFittingsvr(
  ts,
  tlag = ACF,
  Waveletlevels,
  WaveletFilter = "haar",
  boundary = "periodic",
  FastFlag = TRUE,
  SplitRatio = 0.8
)

Arguments

ts

Univariate time series

tlag

Number of lags

Waveletlevels

The level of wavelet decomposition

WaveletFilter

Wavelet filter use in the decomposition

boundary

The boundary condition of wavelet decomposition

FastFlag

The FastFlag condition of wavelet decomposition: True or False

SplitRatio

Training and testing data split

Value

References

Examples

data<-rnorm(100,mean=100,sd=50)
WSVR<-WaveletFittingsvr(ts=data,tlag=2,Waveletlevels=3)