Time series forecasting based on a multidimensional Taylor network model with clustering of dynamic characteristics

Hong-Sen Yan, Xiao-Yi Zheng, Bo Zhou and Jiao-Jun Zhang

Journal of the Operational Research Society, 2022, vol. 73, issue 12, 2660-2669

Abstract: In view of the difficulty of modelling time-varying nonlinear systems, a multidimensional Taylor network (MTN) model based on dynamic characteristic clustering is proposed to establish an online time series forecasting model. The construction method of a MTN, the definitions of the dynamic characteristics, and their similarity criteria are discussed. Specific steps of the MTN online model, based on dynamic clustering, are given. A practical example is presented to demonstrate how the proposed method works in a real application, and its effectiveness is verified.

Date: 2022
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DOI: 10.1080/01605682.2021.2011627

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