There are a lot of papers out there which make attempts to forecast or discuss the benefits of wavelets for frequency decomposition.
Oddly, very few discuss the huge boundary effects that are present when used with a non infinite series (most cases I can think of in finance).
Do any practical usages exist for wavelets without the benefit of hindsight?
I've gone through MODWT, SWT, DWT and CWT these all look great on an existing series but terrible when used in a causal sense.
Has anyone out there had any luck through extending their end point via Kalman or something else before applying a wavelet?