Wavelet Transform and

Some Applications in Time

Series Analysis and
Forecasting
A little bit of history.
Jean Baptiste Joseph Fourier (1768 1830)
1787: Train for priest (Left but Never married!!!).
1793: Involved in the local Revolutionary Committee.
1974: Jailed for the first time.
1797: Succeeded Lagrange as chair of analysis and
mechanics at cole Polytechnique.
1798: Joined Napoleon's army in its invasion of Egypt.
1804-1807: Political Appointment. Work on Heat.
Expansion of functions as trigonometrical series.
Objections made by Lagrange and Laplace.
1817: Elected to the Acadmie des Sciences in and
served as secretary to the mathematical section.
Published his prize winning essay Thorie analytique de
la chaleur.
1824: Credited with the discovery that gases in the
atmosphere might increase the surface temperature of
the Earth (sur les tempratures du globe terrestre et des
espaces plantaires ). He established the concept of
planetary energy balance. Fourier called infrared
radiation "chaleur obscure" or "dark heat.
MGP: Leibniz - Bernoulli - Bernoulli - Euler - Lagrange - Fourier Dirichlet - .
Windowed (Short-Time) Fourier Transform (1946)
James W. Cooley and John W. Tukey, "An algorithm
for the machine calculation of complex Fourier series,"
Math. Comput. 19, 297301 (1965).
Independently re-invented an algorithm known to Carl
Friedrich Gauss around 1805
Fast Fourier Transform
Dennis Gabor
James W. Cooley and John W. Tukey
Winner of the 1971 Nobel Prize for contributions to the principles
underlying the science of holography, published his now-famous paper
Theory of Communication.2
C. F. Gauss
Stephane Mallat, Yves Meyer
Jean Morlet
Presented the concept of wavelets (ondelettes) in its present theoretical form
when he was working at the Marseille Theoretical Physics Center (France).
(Continuous Wavelet Transform)
(Discrete Wavelet Transform) The main algorithm dates
back to the work of Stephane Mallat in 1988. Then joined Y.
Meyer.
Motivation.
Earthquake
Fourier Transform

1
0
/ 2
1

N
k
N ink
i n
e f
N
f
t
2
,....., 1
2
N N
n + =
( ) ( )
} }

= e e d f dt t f
2
2

( ) ( )
}

= dt e t f f
t ie t
e
2

( ) ( )
}

= e e
e t
d e f t f
t i 2

Fourier Transform
Inverse Fourier Transform
Parseval Theorem
Discrete Fourier Transform
Phase!!!
Limitations???
Non-Stationary Signals
Fourier does not provide information about when different periods(frequencies)
where important: No localization in time
has the same support for every
and , but the number of cycles varies
with frequency.
( ) ( ) ( )
}

= dt t g t f u Gf
u ,
,
e
e
Windowed (Short-Time) Fourier Transform
( ) ( )
t i
u
e u t g t g
te
e
2
,


( ) t g
u , e
e
u
Estimates locally around , the amplitude of
a sinusoidal wave of frequency
e
( )
2 4 1
2
u
e u g

=t D. Gabor
u
( ) u g
Function with local support.
Limitations??
Fixed resolution.
Related to the Heisenberg uncertainty principle. The product of the standard deviation
in time and frequency is limited.
The width of the windowing function relates to the how the signal is represented it
determines whether there is good frequency resolution (frequency components close
together can be separated) or good time resolution (the time at which frequencies change).
Selection of determines and . ( ) u g
g
o
g
o
| |
g g
t
0 0
o e o Localization:
Example.
x(t) = cos(210t) for
x(t) = cos(225t) for
x(t) = cos(250t) for
x(t) = cos(2100t) for

Wavelet Transform
( ) ( ) ( )
}

= dt t t f u W
u ,
,


0 > ( )
|
.
|

\
|

u t
t
u
1
,
Gives good time resolution for high frequency events, and good frequency resolution for low
frequency events, which is the type of analysis best suited for many real signals.
( )
}

= 0 dt t ( )
}

< dt t ( )
}

=1
2
dt t
Mother wavelet
properties
( )
( )
}
}

=
0
2
,
0
2
,
0

,
e e
e e e
e

d
d
t
t
t
(
(

e
o

0 , 1 0 , 1
0 , 1

0
t
t ,

o
t ,

o
=
t ,

0 , 1

e
e

0 , 1
,
=
t
.
Wavelet Transform
Some Continuous Wavelets
2 4
1
2
0
q
q e
t

e e
i
Morlet
( )
|
.
|

\
|

u t
t
u
1
,
( ) ( )
t i
u
e u t g t g
te
e
2
,


( )
2 4 1
2
u
e u g

=t
Gabor
Torrence and Compo (1998)
Continuous Wavelet
Transform
For Discrete Data
Time series
Wavelet
Defined as the convolution with a scaled
and translated version of
DFT (FFT) of the time series
N times for each s: Slow!
Using the convolution theorem,
the wavelet transform is the
inverse Fourier transform
Mallat's multiresolution framework
Design method of most of the
practically relevant discrete
wavelet transforms (DWT)
Doppler Signal
sin(5t)+sin(10t) sin(5t) sin(10t)
Earthquake
Sun Spots
Power 9-12 years
Length of Day
Filtering (Inverse Wavelet Transform)
Wavelet Coherency
Wavelet Cross-Spectrum
Wavelet Coherency
Forecasting South-East Asia
Intraseasonal Variability

Webster, P. J, and C. Hoyos, 2004: Prediction of Monsoon
Rainfall and River Discharge on 15-30 day Time Scales.
Bull. Amer. Met. Soc., 85 (11), 1745-1765.
Indian Monsoon: Spatial-Temporal Variability
Active and Break Periods 1. Strong annual cycle. Strong spatial variability.
2. Intraseasonal Variability >>> Interannual Variability
3. Strong impact in Indias economy
OLR Composites based
on active periods.
Selection of Active phases
Regional Structure of the Monsoon Intraseasonal Variability MISO
OLR Composites
Development of an empirical scheme
Choice of the predictors: These are physically
based and strongly related the MISO evolution
(identified from diagnostic studies).

Time series are separated through identification of
significant bands from wavelet analysis of the
predictand (Same separation made for predictors).

Coefficients of the Multi-linear regression change
are time-dependent.
Predictors
OLR Field Predictors
Central India
Central IO
Somali Jet Intensity
Tropical Easterly Jet Index
Sea-level pressure
Central India
Surface Wind Predictors
U-comp
U, V-comp
200mb U-comp
Upper-tropospheric predictors
Predictands
1. Central India Precipitation. 2. Regional Precipitation
3. River Discharge
Statistical Scheme: Wavelet Banding
Statistical scheme uses wavelets to determine
spectral structure of predictand.
Based on the definition of the bands in the
predictand, the predictors are also banded identically
Statistical Scheme: Regression Scheme
Linear regression sets
are formed between
predictand and predictor
and advanced in time.
20-day forecasts for Central India
Error Estimation
All schemes use identical
predictors

Only the WB method
appears to capture the
intraseasonal variability

So why does WB appear
to work?
Comparison of Schemes
Consider predictand made up of
two periodic modes:


F(t) =2sin(t) +sin(6t)
Consider two predictors:


G(t) = sin(t + 20) + sin(3t)
H(t) = sin(6t + 20) + sin(4t)
We can solve problem using:

A regression technique
Or
Wavelet banding then
regression
The reason wavelet banding works can be seen from a simple example:
With simple regression
technique, the waves
in the predictors (noise)
that do not match the
harmonics of the
predictand introduce
errors

Compare blue and red
curves. Correlation is
reasonable but signal
is degraded
Regression Analysis
Filtering the predictors
relative to the signature of
the predictands eliminates
noise.

In this simple case the
forecast is perfect.

In complicated geophysical
time series where coefficients
vary with time, spurious
modes are eliminated and
Bayesian statistical schemes
are less confused.
Wavelet Banding