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Indexed by:会议论文

Date of Publication:2014-07-28

Included Journals:EI、CPCI-S、Scopus

Page Number:5065-5070

Key Words:Multivariate Time Series; Square-root Cubature Kalman Filter; Echo State Network

Abstract:Considering the problem of multivariate time series prediction, this paper proposes an online prediction model for multivariable time series by echo state network (ESN) based on square-root cubature Kalman filter. The model uses echo state network to map the nonlinear relationship between input and output, subsequently, updates the output weights of reservoir online by square-root cubature Kalman filter (SCKF) with three-order approximation for nonlinear functions. We add outlier detection into the filter algorithm, avoiding the adverse effect on the follow-up time series prediction. Experiment results on multivariate benchmark dataset and observed dataset demonstrate the effectiveness of the proposed model.