Mălăroiu, Kiviluoto, Oja TIME SERIES PREDICTION WITH ICA 1 TIME SERIES PREDICTION WITH INDEPENDENT COMPONENT ANALYSIS
نویسندگان
چکیده
We propose a new method to predict time series using the technique of Independent Component Analysis (ICA) as a preprocessing tool. If certain assumptions hold, we show that ICA can be used to transform a set of time series into another set that is easier to predict. These assumptions are not unrealistic for many real-world time series, including financial time series. We have tested this approach on two sets of data: artificial toy data and financial time series. Simulations with a set of foreign exchange rate time series suggest that these can be predicted more accurately using the ICA preprocessing.
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