Forecasting crude oil price using Kalman Filter based on the reconstruction of modes of decomposition ensemble model

• Main Authors: Gao, W., Aamir, M., Shabri, Ani, Dewan, Ritika, Aslam, Adnan
• Format: Article
• Published: Institute of Electrical and Electronics Engineers Inc. 2019
• Subjects: QA Mathematics
• Online Access: http://eprints.utm.my/id/eprint/87802/; http://dx.doi.org/10.1109/ACCESS.2019.2946992
• Institution: Universiti Teknologi Malaysia

The modes' reconstruction into the stochastic and deterministic components is proposed for forecasting the crude oil prices with the concept of "divide and conquer" and modes reconstruction. It is to reduce the complexity in the computation and to enhance the forecasting accuracy of t...