A method is described for determining the optimal short-term prediction time-delay embedding dimension for a scalar time series by training an artificial neural network on the data and then determining the sensitivity of the output of the network to each time lag averaged over the data set. As a byp
A novel method for determining the nature of time series
β Scribed by Gautama, T.; Mandic, D.P.; Van Hulle, M.M.
- Book ID
- 114602654
- Publisher
- IEEE
- Year
- 2004
- Tongue
- English
- Weight
- 266 KB
- Volume
- 51
- Category
- Article
- ISSN
- 0018-9294
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A practical method is proposed to determine the minimum embedding dimension from a scalar time series. It has the following advantages: (1) does not contain any subjective parameters except for the time-delay for the embedding; (2) does not strongly depend on how many data points are available; (3)
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