Chaotic time series prediction using a novel Echo State Network model with Inputs Reconstruction, Bayesian Ridge Regression, and Independent Component Analysis

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This paper presents a novel Echo State Network (ESN) model for chaotic time series prediction, which consists of three steps including input reconstruction, dimensionality reduction and regression. First, phase-space reconstruction is used to reconstruct the original 'attractor' of the input time series. Then, Independent Component Analysis (ICA) is used to identify independent components, reduce dimensionality and overcome multicollinearity problem of the reconstructed input matrix. Finally, Bayesian Ridge Regression provides accurate predictions thanks to its regularization effect to avoid over-fitting and its robustness to noise owing to its probabilistic strategy. Our experimental results show that our model significantly outperforms other ESN models in predicting both artificial and real-world chaotic time series.
Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
Issue Date
2020-06
Language
English
Article Type
Article
Citation

INTERNATIONAL JOURNAL OF PATTERN RECOGNITION AND ARTIFICIAL INTELLIGENCE, v.34, no.6, pp.1 - 19

ISSN
0218-0014
DOI
10.1142/S0218001420510088
URI
http://hdl.handle.net/10203/274469
Appears in Collection
CS-Journal Papers(저널논문)
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