Modelling nonstationary dynamics

M.I. Széliga, P.F. Verdes, P.M. Granitto and H.A. Ceccatto

Physica A: Statistical Mechanics and its Applications, 2003, vol. 327, issue 1, 190-194

Abstract: We incorporate the use of validation data to cope with noisy records in a neural network-based method for modelling the dynamics of slowly changing nonstationary systems. As a byproduct, we obtain a precise criterion to find the optimal value of a required internal hyperparameter. Testing these ideas on a controlled problem shows that the resulting algorithm is able to outperform previous methods in the literature, allowing a more accurate modelling of nonstationary dynamics.

Keywords: Dynamical systems; Nonstationary time series; Neural networks (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:327:y:2003:i:1:p:190-194

DOI: 10.1016/S0378-4371(03)00475-8

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