Time series prediction with ensemble models applied to the CATS benchmark

Authors:
Jörg D. Wichard;Maciej Ogorzałek
Affiliations:
Molecular Modelling Group, Institute of Molecular Pharmacology, Robert Rössle Straíe 10, D-13125 Berlin-Buch, Germany;Department of Electrical Engineering, AGH University of Science and Technology, al. Mickiewicza 30, 30-059 Kraków, Poland
Venue:
Neurocomputing
Year:
2007

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Abstract

We describe the use of ensemble methods to build models for time series prediction. Our approach extends the classical ensemble methods for neural networks by using several different model architectures. We further suggest an iterated prediction procedure to select the final ensemble members.