Bayesian MCMC nonlinear time series prediction

被引：0

作者：

Nakada, Y ^{[1
]}

Kurihara, T ^{[1
]}

Matsumoto, T ^{[1
]}

机构：

[1] Waseda Univ, CREST, JST,Sinjuku Ku, Dept Elect Elect & Comp Engn, Tokyo 1698555, Japan

来源：

2001 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOLS I-VI, PROCEEDINGS: VOL I: SPEECH PROCESSING 1; VOL II: SPEECH PROCESSING 2 IND TECHNOL TRACK DESIGN & IMPLEMENTATION OF SIGNAL PROCESSING SYSTEMS NEURALNETWORKS FOR SIGNAL PROCESSING; VOL III: IMAGE & MULTIDIMENSIONAL SIGNAL PROCESSING MULTIMEDIA SIGNAL PROCESSING - VOL IV: SIGNAL PROCESSING FOR COMMUNICATIONS; VOL V: SIGNAL PROCESSING EDUCATION SENSOR ARRAY & MULTICHANNEL SIGNAL PROCESSING AUDIO & ELECTROACOUSTICS; VOL VI: SIGNAL PROCESSING THEORY & METHODS STUDENT FORUM | 2001年

关键词：

D O I：

暂无

中图分类号：

O42 [声学];

学科分类号：

070206 ; 082403 ;

摘要：

An MCMC(Markov Chain Monte Carlo) algorithm is proposed for nonlinear time series prediction with Hierarchical Bayesian framework. The algorithm computes predictive mean and error bar by drawing samples from predictive distributions. The algorithm is tested against time series generated by (chaotic) Rossler system and it outperforms quadratic approximations previously proposed by the authors.

引用

页码：3509 / 3512

页数：4