Nonlinear time series prediction based on a power-law noise model

Frank Emmert-Streib, M. Dehmer

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

In this paper we investigate the influence of a power-law noise model, also called noise, on the performance of a feed-forward neural network used to predict time series. We introduce an optimization procedure that optimizes the parameters the neural networks by maximizing the likelihood function based on the power-law model. We show that our optimization procedure minimizes the mean squared leading to an optimal prediction. Further, we present numerical results applying method to time series from the logistic map and the annual number of sunspots demonstrate that a power-law noise model gives better results than a Gaussian model.
Original languageEnglish
Pages (from-to)1839-1852
Number of pages14
JournalINTERNATIONAL JOURNAL OF MODERN PHYSICS C
Volume18
Issue number12
Publication statusPublished - Dec 2007

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Computer Science Applications
  • Mathematical Physics
  • Physics and Astronomy(all)
  • Statistical and Nonlinear Physics

Fingerprint Dive into the research topics of 'Nonlinear time series prediction based on a power-law noise model'. Together they form a unique fingerprint.

  • Cite this