Nonstationary time series prediction combined with slow feature analysis

نویسندگان

  • G. Wang
  • X. Chen
چکیده

Almost all climate time series have some degree of nonstationarity due to external driving forces perturbing the observed system. Therefore, these external driving forces should be taken into account when constructing the climate dynamics. This paper presents a new technique of obtaining the driving forces of a time series from the slow feature analysis (SFA) approach, and then introduces them into a predictive model to predict nonstationary time series. The basic theory of the technique is to consider the driving forces as state variables and to incorporate them into the predictive model. Experiments using a modified logistic time series and winter ozone data in Arosa, Switzerland, were conducted to test the model. The results showed improved prediction skills.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Some New Methods for Prediction of Time Series by Wavelets

Extended Abstract. Forecasting is one of the most important purposes of time series analysis. For many years, classical methods were used for this aim. But these methods do not give good performance results for real time series due to non-linearity and non-stationarity of these data sets. On one hand, most of real world time series data display a time-varying second order structure. On th...

متن کامل

Estimating Driving Forces of Nonstationary Time Series with Slow Feature Analysis

Slow feature analysis (SFA) is a new technique for extracting slowly varying features from a quickly varying signal. It is shown here that SFA can be applied to nonstationary time series to estimate a single underlying driving force with high accuracy up to a constant offset and a factor. Examples with a tent map and a logistic map illustrate the performance.

متن کامل

Analysis of Non-Stationary Time Series using Wavelet Decomposition

Abstract: The increased computational speed and developments in the area of algorithms have created the possibility for efficiently identifying a well-fitting time series model for the given nonstationary-nonlinear time series and use it for prediction. In this paper a new method is used for analyzing a given nonstationary-nonlinear time series. Based on the Multiresolution Analysis (MRA) and n...

متن کامل

Evaluation of Univariate, Multivariate and Combined Time Series Model to Prediction and Estimation the Mean Annual Sediment (Case Study: Sistan River)

Erosion, sediment transport and sediment estimate phenomenon with their damage in rivers is a one of the most importance point in river engineering. Correctly modeling and prediction of this parameter with involving the river flow discharge can be most useful in life of hydraulic structures and drainage networks. In fact, using the multivariate models and involving the effective other parameter...

متن کامل

Gaussian process for nonstationary time series prediction

In this paper, the problem of time series prediction is studied. A Bayesian procedure based on Gaussian process models using a nonstationary covariance function is proposed. Experiments proved the approach e4ectiveness with an excellent prediction and a good tracking. The conceptual simplicity, and good performance of Gaussian process models should make them very attractive for a wide range of ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2015