Time series analysis by genetic embedding and neural network regression

Abstract

In this paper, the time series forecasting problem is approached by using a specific procedure to select the past samples of the sequence to be predicted, which will feed a suited function approximation model represented by a neural network. When the time series to be analysed is characterized by a chaotic behaviour, it is possible to demonstrate that such an approach can avoid an ill-posed data driven modelling problem. In fact, classical algorithms fail in the estimation of embedding parameters, especially when they are applied to real-world sequences. To this end we will adopt a genetic algorithm, by which each individual represents a possible embedding solution. We will show that the proposed technique is particularly suited when dealing with the prediction of environmental data sequences, which are often characterized by a chaotic behaviour.