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Communication Dans Un Congrès Année : 2012

Prediction of time series using yule-walker equations with kernels

Résumé

The autoregressive (AR) model is a well-known technique to analyze time series. The Yule-Walker equations provide a straightforward connection between the AR model parameters and the covariance function of the process. In this paper, we propose a nonlinear extension of the AR model using kernel machines. To this end, we explore the Yule-Walker equations in the feature space, and show that the model parameters can be estimated using the concept of expected kernels. Finally, in order to predict once the model identified, we solve a pre-image problem by getting back from the feature space to the input space. We also give new insights into the convexity of the pre-image problem. The relevance of the proposed method is evaluated on several time series.
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Dates et versions

hal-01966015 , version 1 (27-12-2018)

Identifiants

Citer

Maya Kallas, Paul Honeine, Cédric Richard, Clovis Francis, Hassan Amoud. Prediction of time series using yule-walker equations with kernels. Proc. 37th IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2012, Kyoto, Japan. pp.2185 - 2188, ⟨10.1109/ICASSP.2012.6288346⟩. ⟨hal-01966015⟩
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