Time Series Prediction and Neural Networks

Authors:
R. J. Frank;N. Davey;S. P. Hunt
Affiliations:
Department of Computer Science, University of Hertfordshire, Hatfield, UK/ e-mail: R.J.Frank@herts.ac.uk;Department of Computer Science, University of Hertfordshire, Hatfield, UK/ e-mail: N.Davey@herts.ac.uk;Department of Computer Science, University of Hertfordshire, Hatfield, UK/ e-mail: S.P.Hunt@herts.ac.uk
Venue:
Journal of Intelligent and Robotic Systems
Year:
2001

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Abstract

Neural Network approaches to time series prediction are briefly discussed, and the need to find the appropriate sample rate and an appropriately sized input window identified. Relevant theoretical results from dynamic systems theory are briefly introduced, and heuristics for finding the appropriate sampling rate and embedding dimension, and thence window size, are discussed. The method is applied to several time series and the resulting generalisation performance of the trained feed-forward neural network predictors is analysed. It is shown that the heuristics can provide useful information in defining the appropriate network architecture.