A method of grey forecasting based on wavelet analysis theory

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.