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A method of non-linear time series prediction

Bielińska E.

Systems Science

2008

Vol. 34, no 2

11-16

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.