Summary
2007 International Symposium on Nonlinear Theory and its Applications
2007
Session Number:18AM2-B
Session:
Number:18AM2-B-4
Robustness in Time Series Prediction based on Local Orbit Instability Method
Hironori Sawayanagi, Jousuke Kuroiwa, Haruhiko Shirai, Tomohiro Odaka, Hisakazu Ogura,
pp.200-203
Publication Date:2007/9/16
Online ISSN:2188-5079
DOI:10.34385/proc.41.18AM2-B-4
Summary:
In this paper, we investigate the robustness in the time series prediction method based on the local instability of the orbit, which we proposed previously. In our proposed method, we evaluate the Jacobian matrix by considering the structure of the local instability of the orbit. Thus, the Jacobian matrix is calculated from a certain ellipsoidal neighboring region around a reference data point. From computer experiments, comparing with the conventional method where a spherical region is assumed as the neighboring region, our method can predict future behavior of the systems with higher precision independent from the size of the neighboring region. It suggests us that our method can give the robust prediction.