doi:10.1016/S0954-1810(00)00026-1
Copyright © 2001 Elsevier Science Ltd. All rights reserved.
Time-series prediction based on pattern classification
Z. Zeng
,
, H. Yan and A. M. N. Fu
School of Electrical and Information Engineering, University of Sydney, Sydney, NSW 2006, Australia
Received 2 September 1999;
revised 2 November 2000;
accepted 12 December 2000
Available online 22 May 2001.
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Abstract
In this paper, a new time-series predication method is proposed based on pattern analysis. In this method, basic patterns and their probabilities are extracted from a time series. A probabilistic relaxation method is employed to classify the probability vectors of the basic patterns. In order to verify the effectiveness of the proposed method, several experiments are carried out on a simulation signal and real data. The results show that the proposed method has advantages over existing methods in some applications.
Author Keywords: Time-series prediction; Lag vector; Pattern classification; Probabilistic relaxation; Multi-layer perceptron
Fig. 1. The pattern analysis of a time-series signal.
Fig. 2. The section of a time series.
Fig. 3. The prediction process based on pattern classification.
Fig. 4. Time series signal y(k)=sin((2π/700)k)+sin((2π/30)k)+0.3 cos((2π/3)k)+0.3ζ(k).
Fig. 5. Daily temperatures of Wellington, New Zealand from 1929 to 1935.
Fig. 6. The share price of Qantas airline.
Fig. 7. Probabilities of prediction trends.
Table 1. Prediction performance based on simulation signal y(k)=sin((2π/700)k)+sin((2π/30)k)+0.3 cos((2π/3)k)+0.3ζ(k)

Table 2. Prediction performance based on daily temperatures of Wellington, New Zealand from 1929 to 1935

Table 3. Prediction performance based on the share price of Qantas airline, Australia from January 1995 to September 1998
