Time Series Analysis and Its Applications (Springer Texts in Statistics)
Time Series Analysis and Its Applications (Springer Texts in Statistics)
Local prediction of non-linear time series using support vector regression
Pattern Recognition
Modeling of nonlinear nonstationary dynamic systems with a novel class of artificial neural networks
IEEE Transactions on Neural Networks
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This paper presents a local recurrence modeling approach for state and performance predictions in complex nonlinear and nonstationary systems. Nonstationarity is treated as the switching force between different stationary systems, which is shown as a series of finite time detours of system dynamics from the vicinity of a nonlinear attractor. Recurrence patterns are used to partition the system trajectory into multiple near-stationary segments. Consequently, piecewise eigen analysis of ensembles in each near-stationary segment can capture both nonlinear stochastic dynamics and nonstationarity. The experimental studies using simulated and real-world datasets demonstrate significant prediction performance improvements in comparison with other alternative methods.