Nonlinear time series modelling with the radial basis function-based state-dependent autoregressive model
Titel:
Nonlinear time series modelling with the radial basis function-based state-dependent autoregressive model
Auteur:
Shi, Zhaoyun Tamura, Yoshiyasu Ozaki, Tohru
Verschenen in:
International journal of systems science
Paginering:
Jaargang 30 (1999) nr. 7 pagina's 717-727
Jaar:
1999-07-01
Inhoud:
This paper investigates nonlinear time series modelling using the general state-dependent autoregressive model. To achieve the estimate of the model, an attempt is made to approximate the state-dependent parameter by employing the Gaussian radial basis function for its universal approximation capability. As a result, a radial basis function-based autoregressive (RBF-AR) model is derived which has a form similar to a generalized exponential autoregressive model. To reach the applicability of the RBF-AR model, the evolutionary programming algorithm is employed to select a suitable set of radial basis function centres. By applying the resulting model to some complex data, it is shown that the RBF-AR model can not only reconstruct the dynamics of given nonlinear time series effectively, but also give much better fitting to complextime series than the approach of directly RBF neural network modelling. Therefore, as a paradigm combining a statistical model and neural network, the RBF-AR model has better performance than the RBF neural network especially for its problem reduction of the curse of dimensionality which is usually regarded as one of the potential main difficulties of RBF neural network modelling.