Abstract
In this paper, the time series forecasting problem is approached by using a specific procedure to select the past samples of the sequence to be predicted, which will feed a suited function approximation model represented by a neural network. When the time series to be analysed is characterized by a chaotic behaviour, it is possible to demonstrate that such an approach can avoid an ill-posed data driven modelling problem. In fact, classical algorithms fail in the estimation of embedding parameters, especially when they are applied to real-world sequences. To this end we will adopt a genetic algorithm, by which each individual represents a possible embedding solution. We will show that the proposed technique is particularly suited when dealing with the prediction of environmental data sequences, which are often characterized by a chaotic behaviour.
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Panella, M., Liparulo, L., Proietti, A. (2015). Time Series Analysis by Genetic Embedding and Neural Network Regression. In: Bassis, S., Esposito, A., Morabito, F. (eds) Advances in Neural Networks: Computational and Theoretical Issues. Smart Innovation, Systems and Technologies, vol 37. Springer, Cham. https://doi.org/10.1007/978-3-319-18164-6_3
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DOI: https://doi.org/10.1007/978-3-319-18164-6_3
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-18163-9
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