Lecture Notes in Computer Science, 2004, Volume 3177/2004, 648-653, DOI: 10.1007/978-3-540-28651-6_95

Combining Local and Global Models to Capture Fast and Slow Dynamics in Time Series Data

Michael Small

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Abstract

Many time series exhibit dynamics over vastly different time scales. The standard way to capture this behavior is to assume that the slow dynamics are a“trend”, to de-trend the data, and then to model the fast dynamics. However, for nonlinear dynamical systems this is generally insufficient. In this paper we describe a new method, utilizing two distinct nonlinear modeling architectures to capture both fast and slow dynamics. Slow dynamics are modeled with the method of analogues, and fast dynamics with a deterministic radial basis function network. When combined the resulting model out-performs either individual system.

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