Moments of predictive deviations for ensemble diversity measures to estimate the performance of time series prediction

Authors:
Kohei Ono;Shuichi Kurogi;Takeshi Nishida
Affiliations:
Kyushu Institute of technology, Fukuoka, Japan;Kyushu Institute of technology, Fukuoka, Japan;Kyushu Institute of technology, Fukuoka, Japan
Venue:
ICONIP'12 Proceedings of the 19th international conference on Neural Information Processing - Volume Part V
Year:
2012

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Abstract

This paper presents an analysis of moments of predictive deviations as measures of ensemble diversity to estimate the performance of time series prediction. As an extension of the ambiguity decomposition of bagging ensemble, we decompose the fourth power of ensemble prediction error and clarify the effect of the moments of predictive deviations of ensemble members to the ensemble prediction error. We utilize this analysis for estimating the performance of time sires prediction, and show the effectiveness by means of numerical experiments.