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GMDH Structures in Time-series Modeling for Prediction (CROSBI ID 542567)

Prilog sa skupa u zborniku | sažetak izlaganja sa skupa

Ivek, Ivan GMDH Structures in Time-series Modeling for Prediction // Book of Abstracts - KDSA 2008, Workshop on Knowledge Discovery in Scientific Applications / Gamberger, Dragan (ur.). Zagreb: Institut Ruđer Bošković, 2008

Podaci o odgovornosti

Ivek, Ivan

engleski

GMDH Structures in Time-series Modeling for Prediction

Inherently selective and inductive, the Group Method of Data Handling (GMDH) is extensively used in forecasting. Three types of modeling the process behind the observed time-series can be discerned: as purely deterministic (small-dimensional state-space presumed), stochastic (large-dimensional state-space presumed) and chaotic (presumption of a small-dimensional process that manifests characteristics of deterministic chaos). The focus will be on the latter two. When no appropriate state-space model of the process can be found, stochastic approach to modeling can be used. Fundamental stochastic linear models, the autoregressive (AR) and autoregressive moving average (ARMA) models will be addressed here and futher generalized as nonlinear models, with GMDH networks as nonlinearities. If a chaotic attractor underlying the observed time series is suspected, an effort can be made to reconstruct it in a small-dimensional state-space. The basics of chaos modeling will be addressed next, the Lyapunov exponent, time-delayed state-space embedding and methods for short-term prediction. Furthermore, a multi-output GMDH structure for state-space prediction as an alternative to commonly used averaging of nearest-neighbours in state-space will be suggested.

GMDH; ARMA; Backpropagation; Chaotic Attractor

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Podaci o prilogu

2008.

objavljeno

Podaci o matičnoj publikaciji

Book of Abstracts - KDSA 2008, Workshop on Knowledge Discovery in Scientific Applications

Gamberger, Dragan

Zagreb: Institut Ruđer Bošković

Podaci o skupu

KDSA 2008, Workshop on Knowledge Discovery in Scientific Applications

predavanje

17.10.2008-19.10.2008

Poreč, Hrvatska

Povezanost rada

Elektrotehnika, Računarstvo