Time series prediction using multiple series

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David
David el 17 de En. de 2013
Respondida: Abolfazl Nejatian el 23 de Nov. de 2018
NAR seems to be the tool of choice for predicting future values of a single time series y, using only its past as input.
NARX is the tool when there is a second series x thought to be predictive of the first, along with that series.
What are the best approaches when there are multiple "second series" to be used, eg x1, x2,... XN ?
Thanks

Respuesta aceptada

Greg Heath
Greg Heath el 17 de En. de 2013
Editada: Greg Heath el 17 de En. de 2013
Before blindly using ANY time series function, determine which delays are significant.
[ O N ] = size(t); O = 1
[I N ] = size(x); I >=1
zsct1 = zscore(t,1);
zscx1 = zscore(x',1)';
Now use xcorr, crosscorr (which I do not have) or nncorr to calculate and plot, correlation functions to help determine the significant positive delays of
1. The output autocorrelation function (correlation of current output with past outputs)
autocorrt = nncorr(zsct1,zsct1,N-1,'biased');
autocorrt(positive delays) = autocorrt(N+1:2*N-1);
2. Positive delays of the input/output crosscorrelation functions (correlation of current input with past outputs)
crosscorrtx1 = nncorr(zsct1,zscx1(1,:),N-1,'biased');
crosscorrtx2 = nncorr(zsct1,zscx1(2,:),N-1,'biased');
...
crosscorrxtI = nncorr(zsct1,zscx1(I,:),N-1,'biased');
However, the time series neural nets do not allow different delays for
different components of the input.
Hope this helps.
Thank you for formally accepting my answer.
Greg

Más respuestas (2)

Abolfazl Nejatian
Abolfazl Nejatian el 23 de Nov. de 2018
here is my code,
this piece of code predicts time series data by use of deep learning and shallow learning algorithm.
best wish
abolfazl nejatian

Shashank Prasanna
Shashank Prasanna el 17 de En. de 2013
You can provide any number of exogenous inputs to your NARX network. If you are using the neural network toolbox, then just stack them all up in a cell and feed it to the network.
Run "NTSTOOL" and click 'load example data set', has some examples where they provide more than 1 X

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