Em-Algorithm for Training of State-Space Models with Application to Time Series Prediction

Author

Elia Liitiäinen
Nima Reyhani
Amaury Lendasse, Missouri University of Science and TechnologyFollow

Abstract

In This Paper, an Improvement to the E Step of the Em Algorithm for Nonlinear State-Space Models is Presented. We Also Propose Strategies for Model Structure Selection When the Em-Algorithm and State-Space Models Are Used for Time Series Prediction. Experiments on the Poland Electricity Load Time Series Show that the Method Gives Good Short-Term Predictions and Can Also Be Used for Long-Term Prediction.

Recommended Citation

E. Liitiäinen et al., "Em-Algorithm for Training of State-Space Models with Application to Time Series Prediction," ESANN 2006 Proceedings - European Symposium on Artificial Neural Networks, pp. 137 - 142, European Symposium on Artificial Neural Networks, Jan 2006.

Department(s)

Engineering Management and Systems Engineering

International Standard Book Number (ISBN)

978-293030706-0

Document Type

Article - Conference proceedings

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2024 European Symposium on Artificial Neural Networks, All rights reserved.

Publication Date

01 Jan 2006