Abstract
A crucial problem in non-linear time series forecasting is to determine its auto-regressive order, in particular when the prediction method is non-linear. We show in this paper that this problem is related to the fractal dimension of the time series, and suggest using the Curvilinear Component Analysis (CCA) to project the data in a non-linear way on a space of adequately chosen dimension, before the prediction itself. The performances of this method are illustrated on the SBF 250 index.
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Verleysen, M., de Bodt, E., Lendasse, A. (1999). Forecasting financial time series through intrinsic dimension estimation and non-linear data projection. In: Mira, J., Sánchez-Andrés, J.V. (eds) Engineering Applications of Bio-Inspired Artificial Neural Networks. IWANN 1999. Lecture Notes in Computer Science, vol 1607. Springer, Berlin, Heidelberg . https://doi.org/10.1007/BFb0100527
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DOI: https://doi.org/10.1007/BFb0100527
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