A method of non-linear time series prediction

• Autorzy: Bielińska E.
• Języki publikacji: EN

Abstrakty

EN

The paper concerns time series modelling and prediction. Time series dynamics is described with the use of a hybrid linear-bilinear model. Then, a prediction algorithm that minimizes a variance of a prediction error is derived based on the hybrid linear-bilinear model, and the method of prediction strategy is proposed. The strategy is then applied to one of the most popular benchmark data -sunspot number series. Results obtained with the use of the model and the prediction algorithm proposed in the paper, are compared to the results obtained on the basis of a SETAR model proposed by Tong.

Słowa kluczowe

EN

time series analysis; bilinear models; prediction

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Systems Science
• Rocznik: 2008
• Tom: Vol. 34, no 2
• Strony: 11--16
• Opis fizyczny: Bibliogr. 10 poz., wykr.

Twórcy

autor

Bielińska E.

• The Silesian University of Technology, ul. Akademicka 16,44-100 Gliwice, Poland,

Bibliografia

• [1] Astrom K., Introduction to stochastic control theory. Clarendon Press, Oxford 1993.
• [2] Bielińska E., Identification of a mixed linear-bilinear diagonal time series model, Systems Science, Vol. 31, No. 3, 2005, pp. 21-36.
• [3] Bielińska E., Methods of identification of elementary bilinear time series, Proc. 13 IEE IFAC Conference Methods and Models in Automation and Robotics, Vol. 1, 2007, pp. 559-564.
• [4] Box G., Analiza szeregów czasowych, PWN, Warszawa 1983.
• [5] Chen S., Billings S.A., Modeling and analysis of nonlinear time series, International Journal of Control, Vol. 49, 1989.
• [6] Granger C.W., Andersen A., Nonlinear time series modeling, [in:] Applied time series analysis, Academic Press, 1978.
• [7] Keyser R.M., Cauvernberge A.R., A self-tuning multi-step predictor application, Automatica, Vol. 17, 1981.
• [8] Tong H., Non-linear time series, Clarendon Press, Oxford 1993.
• [9] Wittenmark B., A self tuning predictor, IEEE Transaction on Automatic Control, Vol. AC-19, No. 6, 1974.
• [10] Yaffee R., Introduction to time series analysis and forecasting, Academic Press, 2000.