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A new adaptive local linear prediction method and its application in hydrological time series. (English) Zbl 1189.37089

Summary: The embedding dimension and the number of nearest neighbors are very important parameters in the prediction of a chaotic time series. In order to reduce the uncertainties in the determination of the forgoing two parameters, a new adaptive local linear prediction method is proposed in this study. In the new method, the embedding dimension and the number of nearest neighbors are combined as a parameter set and change adaptively in the process of prediction. The generalized degree of freedom is used to help select the optimal parameters. Real hydrological time series are taken to examine the performance of the new method. The prediction results indicate that the new method can choose the optimal parameters of embedding dimension and the nearest neighbor number adaptively in the prediction process. And the nonlinear hydrological time series perhaps could be modeled better by the new method.

MSC:

37M10 Time series analysis of dynamical systems
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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