Wavelet based time series forecast with application to acute hypotensive episodes prediction.

This paper presents a generic methodology for time series prediction, based on a wavelet decomposition/ reconstruction technique, together with a feedforward neural networks structure. The proposed methodology combines the flexibility and learning abilities of neural networks with a compact description of the signals, inherent to wavelets. In a first phase a wavelet decomposition of the signal is performed, providing a small number of coefficients that summarizes signal time evolution dynamics. The prediction problem is then effectively addressed by means of a neural networks model, previously trained using coefficients of the training dataset. The particular problem of forecasting acute hypotensive episodes (AHE) occurring in intensive care units was used to prove the effectiveness of the proposed strategy. The dataset, extracted from MIMIC-II, was made available in the context of the PhysioNet-Computers in Cardiology Challenge 2009. Results attained in this work were similar to the best ones achieved under that challenge.