Journal
JOURNAL OF INTELLIGENT & ROBOTIC SYSTEMS
Volume 31, Issue 1-3, Pages 91-103Publisher
SPRINGER
DOI: 10.1023/A:1012074215150
Keywords
time series prediction; neural network predictor; window size estimation; singular value analysis; false nearest neighbour method
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Neural Network approaches to time series prediction are briefly discussed, and the need to find the appropriate sample rate and an appropriately sized input window identified. Relevant theoretical results from dynamic systems theory are briefly introduced, and heuristics for finding the appropriate sampling rate and embedding dimension, and thence window size, are discussed. The method is applied to several time series and the resulting generalisation performance of the trained feed-forward neural network predictors is analysed. It is shown that the heuristics can provide useful information in defining the appropriate network architecture.
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