Extracting the relevant delays in time series modelling

In this contribution, we suggest a convenient way to use generalisation error to extract the relevant delays from a time-varying process, i.e. the delays that lead to the best prediction performance. We design a generalisation-based algorithm that takes its inspiration from traditional variable selection, and more precisely stepwise forward selection. The method is compared to other forward selection schemes, as well as to a non-parametric tests aimed at estimating the embedding dimension of time series. The final application extends these results to the efficient estimation of FIR filters on some real data.