Release Time:2019-03-11  Hits:

Indexed by: Conference Paper

Date of Publication: 2014-07-28

Included Journals: Scopus、CPCI-S、EI

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.