Double SOM for long-term time series prediction
Résumé
Many time series forecasting problems require the estimation of possibly inaccurate, but long¬term, trends, rather than accurate short-term prediction. In this paper, a double use of the Self-Organizing Map algorithm makes it possible to build a model for long¬term prediction, which is proven to be stable. The method uses the information on the structure of the series when available, by predicting blocs instead of scalar values. It is illustrated on real time series for both scalar and bloc predictions.
Domaines
Statistiques [math.ST]| Origine | Fichiers produits par l'(les) auteur(s) |
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