Elements of information theory
Elements of information theory
Optimising the Widths of Radial Basis Functions
SBRN '98 Proceedings of the Vth Brazilian Symposium on Neural Networks
On the Kernel Widths in Radial-Basis Function Networks
Neural Processing Letters
Nonlinear Time Series Analysis
Nonlinear Time Series Analysis
Mutual information and k-nearest neighbors approximator for time series prediction
ICANN'05 Proceedings of the 15th international conference on Artificial neural networks: formal models and their applications - Volume Part II
Input and structure selection for k-NN approximator
IWANN'05 Proceedings of the 8th international conference on Artificial Neural Networks: computational Intelligence and Bioinspired Systems
Direct and recursive prediction of time series using mutual information selection
IWANN'05 Proceedings of the 8th international conference on Artificial Neural Networks: computational Intelligence and Bioinspired Systems
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Delay selection for time series phase space reconstruction may be performed using a mutual information (MI) criterion. However, the delay selection is in that case limited to the estimation of a single delay using MI between two variables only. A high-dimensional estimator of the MI may be used to select more than one delay between more than two variables but this approach is rather time consuming. In this paper, an alternative fast criterion is proposed to optimize all delays for a high-dimensional phase space reconstruction: the distance-to-diagonal (DD) criterion, based on a geometrical heuristic. The use of the distance to diagonal criterion is illustrated and compared to MI on artificial and benchmark time series.