Multi-stage Algorithm Based on Neural Network Committee for Prediction and Search for Precursors in Multi-dimensional Time Series

Authors:
Sergey Dolenko;Alexander Guzhva;Igor Persiantsev;Julia Shugai
Affiliations:
D.V. Skobeltsyn Institute of Nuclear Physics, M.V.Lomonosov Moscow State University, Moscow, Russia 119991;D.V. Skobeltsyn Institute of Nuclear Physics, M.V.Lomonosov Moscow State University, Moscow, Russia 119991;D.V. Skobeltsyn Institute of Nuclear Physics, M.V.Lomonosov Moscow State University, Moscow, Russia 119991;D.V. Skobeltsyn Institute of Nuclear Physics, M.V.Lomonosov Moscow State University, Moscow, Russia 119991
Venue:
ICANN '09 Proceedings of the 19th International Conference on Artificial Neural Networks: Part II
Year:
2009

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Abstract

The studied problem is prediction of time series based on preceding values of several time series (a multi-dimensional time series). Besides prediction itself, the task is finding precursors, i.e. determination of a set of the most significant input features in coordinates "initial time series --- lag". A four-stage prediction algorithm based on neural network committee has been suggested, implemented and studied. The algorithm has been successfully tested on one model problem and on one real world problem.