Forecasts for the Canadian Lynx time series using method that bombine neural networks, wavelet shrinkage and decomposition

Time series forecasting is widely used in various areas of human knowledge, especially in the planning and strategic direction of companies. The success of this task depends on the forecasting techniques applied. In this paper, a hybrid approach to project time series is suggested. To validate the methodology, a time series already modeled by other authors was chosen, allowing the comparison of results. The proposed methodology includes the following techniques: wavelet shrinkage, wavelet decomposition at level r, and artificial neural networks (ANN). Firstly, a time series to be forecasted is submitted to the proposed wavelet filtering method, which decomposes it to components of trend and linear residue. Then, both are decomposed via level r wavelet decomposition, generating r + 1 Wavelet Components (WCs) for each one; and then each WC is individually modeled by an ANN. Finally, the predictions for all WCs are linearly combined, producing forecasts to the underlying time series. For evaluating purposes, the time series of Canadian Lynx has been used, and all results achieved by the proposed method were better than others in existing literature.