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Abstract: In this paper, we propose a generic non-linear approach for time series forecasting. The main feature of this approach is the use of a simple statistical forecasting in small regions of an input space adequately chosen and quantized. The partition of the space is achieved by the Kohonen algorithm. The method is then applied to a widely known time-series from the SantaFe competition, and the results are compared with the best ones published for this series. (Update)
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BibTeX entry: (Update)
A. Lendasse, M. Verleysen, E. de Bodt, M. Cottrell, Ph. Grgoire, "Forecasting Time-Series by Kohonen Classification", in Proc. of ESANN'98, pp. 221-226, D Facto, Brussels, 1998. http://citeseer.ist.psu.edu/lendasse98forecasting.html More
@inproceedings{ lendasse98forecasting,
author = "A. Lendasse and M. Verleysen and E. {de Bodt} and P. Gregoire and M. Cottrell",
title = "Forecasting Time-series by {K}ohonen Classification",
booktitle = "Proceedings of {ESANN}'98",
publisher = "Editions D Facto",
address = "Bruxelles",
editor = "M. Verleysen",
pages = "221--226",
year = "1998",
url = "citeseer.ist.psu.edu/lendasse98forecasting.html" }
Citations (may not include all citations):
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Time Series Prediction: Forecasting the Future and Understan.. (context) - Weigend, Gershenfeld - 1994
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A Theory of the Term Structure of Interest Rates (context) - Cox, Ingersoll et al. - 1985
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Springer Series in Information Sciences (context) - Kohonen - 1995
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Two or three things that we know about the Kohonen algorithm
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Simulating Interest Rate Structure Evolution on a Long Term .. (context) - Cottrell, de Bodt - 1996
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Non-linear prediction with self-organising maps (context) - Walter, Ritter et al. - 1990
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Kohonen maps versus vector quantization for data analysis
- Cottrell, de Bodt et al. - 1997
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Long Term Forecasting by Combining Kohonen Algorithm and sta.. (context) - Cottrell, Girard et al. - 1997
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un algorithme d'auto-organisation (context) - Cottrell, Fort et al. - 1987
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