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Parsimonious dynamical reconstruction. (English) Zbl 0875.62426

Summary: Many nonlinear deterministic models of time seris have large numbers of parameters and tend to overfit in the presence of noise. This paper shows how to generate radial basis function models with small numbers of parameters for a given quality of fit. It also addresses questions of how to select subsets from candidate sets of centers for radial basis function models, and what kinds of basis functions to use, as well as how large a model is appropriate.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P99 Applications of statistics

Keywords:

time series
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