Partial Mutual Information for Input Selection of Time Series Prediction

摘要：

An important step in modeling time series is the selection of appropriate model input. Information theoretic concept of mutual information provides a general framework to evaluate the dependence between a potential model input and the output. A model-free approach, partial measure of the mutual information, is proposed in this paper, which utilizes a measure of the mutual information criterion to characterize the dependence in the case of multiple inputs and identifies the actual inputs for time series prediction. This algorithm is tested on a number of synthetic time series data sets, where the dependence attributes were known a priori. Results depict the effectiveness of the proposed method in proper input selection.

关键词： Mutual Information Input Selection Time Series

作者: Conggui Yuan XinzhengZhang Shuqiong Xu

作者单位: Automation Department, Guangdong University of Technology, Mechanical & Electrical Engineering dept, Automation Department, Guangdong University of Technology

会议类型: 国际会议

会议名称: 2011 China Control and Decision Conference(2011中国控制与决策会议 CCDC)

会议地点: 四川绵阳

会议语种:英文

页码: 2010-2014

在线出版日期: 2011-05-23（万方平台首次上网日期，不代表论文的发表时间）