Letters: Learning non-linear time-scales with kernel γ-filters

  • Authors:
  • Gustavo Camps-Valls;Jordi Muñoz-Marí;Manel Martínez-Ramón;Jesús Requena-Carrión;José Luis Rojo-Álvarez

  • Affiliations:
  • Escola Tècnica Superior d'Enginyeria, Dept. Enginyeria Electrònica, Universitat de València, C/ Dr. Moliner 50, Burjassot, València, Spain;Escola Tècnica Superior d'Enginyeria, Dept. Enginyeria Electrònica, Universitat de València, C/ Dr. Moliner 50, Burjassot, València, Spain;Dept. Teoría de la Señal y Comunicaciones, Universidad Carlos III de Madrid, Spain;Dept. Teoría de la Señal y Comunicaciones, Universidad Rey Juan Carlos, Madrid, Spain;Dept. Teoría de la Señal y Comunicaciones, Universidad Rey Juan Carlos, Madrid, Spain

  • Venue:
  • Neurocomputing
  • Year:
  • 2009

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Abstract

A family of kernel methods, based on the @c-filter structure, is presented for non-linear system identification and time series prediction. The kernel trick allows us to develop the natural non-linear extension of the (linear) support vector machine (SVM) @c-filter [G. Camps-Valls, M. Martinez-Ramon, J.L. Rojo-Alvarez, E. Soria-Olivas, Robust @c-filter using support vector machines, Neurocomput. J. 62(12) (2004) 493-499.], but this approach yields a rigid system model without non-linear cross relation between time-scales. Several functional analysis properties allow us to develop a full, principled family of kernel @c-filters. The improved performance in several application examples suggests that a more appropriate representation of signal states is achieved.