Time series prediction: statistical and neural techniques

Daniel R. Zahirniak; Martin P. DeSimio

doi:10.1117/12.235911

22 March 1996 Time series prediction: statistical and neural techniques

Daniel R. Zahirniak, Martin P. DeSimio

Proceedings Volume 2760, Applications and Science of Artificial Neural Networks II; (1996) https://doi.org/10.1117/12.235911
Event: Aerospace/Defense Sensing and Controls, 1996, Orlando, FL, United States

Abstract

In this paper we compare the performance of nonlinear neural network techniques to those of linear filtering techniques in the prediction of time series. Specifically, we compare the results of using the nonlinear systems, known as multilayer perceptron and radial basis function neural networks, with the results obtained using the conventional linear Wiener filter, Kalman filter and Widrow-Hoff adaptive filter in predicting future values of stationary and non- stationary time series. Our results indicate the performance of each type of system is heavily dependent upon the form of the time series being predicted and the size of the system used. In particular, the linear filters perform adequately for linear or near linear processes while the nonlinear systems perform better for nonlinear processes. Since the linear systems take much less time to be developed, they should be tried prior to using the nonlinear systems when the linearity properties of the time series process are unknown.

Citation Download Citation

Daniel R. Zahirniak and Martin P. DeSimio "Time series prediction: statistical and neural techniques", Proc. SPIE 2760, Applications and Science of Artificial Neural Networks II, (22 March 1996); https://doi.org/10.1117/12.235911

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