Direct and Recursive Prediction of Time Series Using Mutual Information Selection

Abstract. This paper presents a comparison between direct and recursive prediction strategies. In order to perform the input selection, an approach based on mutual information is used. The mutual information is computed between all the possible input sets and the outputs. Least Squares Support Vector Machines are used as non-linear models to avoid local minima problems. Results are illustrated on the Poland electricity load benchmark and they show the superiority of the direct prediction strategy.

• Type: Conference
• Year: 2005
• Where: IWANN
• Authors: Yongnan Ji, Jin Hao, Nima Reyhani, Amaury Lendasse
• Keywords: IWANN 2005, Mutual Information, Possible Input Sets, Recursive Prediction Strategies