Prediction of Chaotic Time Series with Noise

Tohru IKEGUCHI  Kazuyuki AIHARA  

Publication
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E78-A   No.10   pp.1291-1298
Publication Date: 1995/10/25
Online ISSN: 
DOI: 
Print ISSN: 0916-8508
Type of Manuscript: Special Section PAPER (Special Section on Nonlinear Theory and Its Applications)
Category: 
Keyword: 
chaos,  prediction,  time series analysis,  

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Summary: 
In this paper, we propose algorithm of deterministic nonlinear prediction, or a modified version of the method of analogues which was originally proposed by E.N. Lorenz (J. Atom. Sci., 26, 636-646, 1969), and apply it to the artificial time series data produced from nonlinear dynamical systems and further corrupted by superimposed observational noise. The prediction performance of the present method are investigated by calculating correlation coefficients, root mean square errors and signature errors and compared with the prediction algorithm of local linear approximation method. As a result, it is shown that the prediction performance of the proposed method are better than those of the local linear approximation especially in case that the amount of noise is large.