Time Series Predictability
نویسندگان
چکیده
A new metric that quantifies the predictability of a time series is introduced. This new time series predictability metric is developed based on the η -metric method introduced by Kaboudan, but overcomes the resolution and stationarity problems presented in the pure η -metric method. It also provides a new feature, which shows how the predictability changes over different subsequences in a time series. The new metric can be built on top of many time series modeling methods and improves their performance in time series forecasting. Successful attempts have been made with Genetic Programming (GP) and Artificial Neural Networks (ANN) in the application of stock time series prediction.
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