Title
A State Space Approach and Hurst Exponent for Ensemble Predictors.
Abstract
In this article we propose a concept of ensemble methods based on deconvolution with state space and MLP neural network approach. Having a few prediction models we treat their results as a multivariate variable with latent components having destructive or constructive impact on prediction. The latent component classification is performed using novel variability measure derived from Hurst exponent. The validity of our concept is presented on the real problem of load forecasting in the Polish power system.
Year
DOI
Venue
2013
10.1007/978-3-642-41013-0_16
Communications in Computer and Information Science
Keywords
Field
DocType
state space approach,Hurst exponent,Independent Component Analysis,ensemble methods
Statistical physics,Computer science,Multivariate statistics,Hurst exponent,Deconvolution,Detrended fluctuation analysis,Independent component analysis,Artificial neural network,State space,Ensemble learning
Conference
Volume
ISSN
Citations 
383
1865-0929
0
PageRank 
References 
Authors
0.34
1
2
Name
Order
Citations
PageRank
Ryszard Szupiluk1388.97
Tomasz Zabkowski23211.28