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Zbl 1189.37089
She, Dunxian; Yang, Xiaohua
A new adaptive local linear prediction method and its application in hydrological time series. (English)
[J] Math. Probl. Eng. 2010, Article ID 205438, 15 p. (2010). ISSN 1024-123X; ISSN 1563-5147/e

Summary: The embedding dimension and the number of nearest neighbors are very important parameters in the prediction of a chaotic time series. In order to reduce the uncertainties in the determination of the forgoing two parameters, a new adaptive local linear prediction method is proposed in this study. In the new method, the embedding dimension and the number of nearest neighbors are combined as a parameter set and change adaptively in the process of prediction. The generalized degree of freedom is used to help select the optimal parameters. Real hydrological time series are taken to examine the performance of the new method. The prediction results indicate that the new method can choose the optimal parameters of embedding dimension and the nearest neighbor number adaptively in the prediction process. And the nonlinear hydrological time series perhaps could be modeled better by the new method.

MSC 2000:: *37M10 Time series analysis
62M10 Time series, etc. (statistics)

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