Local prediction of turning points of oscillating time series.
For oscillating time series, the prediction is often focused on the turning points. In order to predict the turning point magnitudes and times it is proposed to form the state space reconstruction only from the turning points and modify the local (nearest-neighbor) model accordingly. The model on turning points gives optimal predictions at a lower dimensional state space than the optimal local model applied directly on the oscillating time series and is thus computationally more efficient. Simulations on different oscillating nonlinear systems showed that it gives better predictions of turning points and this is confirmed also for the time series of annual sunspots and total stress in a plastic deformation experiment.
Kugiumtzis
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Department of Mathematical, Physical and Computational Sciences, Faculty of Engineering, Aristotle University of Thessaloniki, Thessaloniki 54124, Greece. dkugiu@gen.auth.gr