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A comparative evaluation of nonlinear dynamics methods for time series prediction

Author(s) : Camastra, F. , Filippone, M.
Description : A key problem in time series prediction using autoregressive models is to fix the model order, namely the number of past samples required to model the time series adequately. The estimation of the model order using cross-validation may be a long process. In this paper, we investigate alternative met...
Repository : Whiterose Research Online , View repository documents
Language(s) : Undetermined
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Publisher(s) : Springer Verlag
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Publication Date(s) : 2009-11-01