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A prediction algorithm for time series based on adaptive model selection
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DOI：10.1016/j.eswa.2007.11.021.png)
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摘要
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HMM (Hidden Markov model) has been used successfully to analyze various types of time series. To fit time series with HMM, the number of hidden states should be determined before learning other parameters. since it has great impact oil the complexity and precision of the fitting HMM. However this becomes too difficult when there is not enough prior knowledge about the observed series, which will lead to the increasing mean error in prediction process. To overcome this shortcoming, a prediction algorithm PAAMS for time series based oil adaptive model selection is proposed. In PAAMS, the model call be dynamically updated when the prediction mean error increases. During the update process, an automatic model selection method AMSA is applied to get the best hidden state number and other model parameters. The proposed method AMSA is based oil clustering, in which the number of hidden states is considered as the number of clusters. The feasibility and effectiveness of proposed prediction algorithm are explained. Experiments oil American stock price data set are done and the results show that the PAAMS algorithm call achieve higher precision than that of previous study oil the same data sets based oil fixed model techniques. (c) 2007 Elsevier Ltd. All rights reserved.
Keyword:
Hidden Markov model
Adaptive model selection
Time series prediction
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7.5
论文数:
3.0W
被引数:
10.2W
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