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Noise Identification in Multivariate Time Series Modelling with Divergence Approach

  • Ryszard Szupiluk
Conference paper
Part of the Lecture Notes in Business Information Processing book series (LNBIP, volume 158)

Abstract

In this paper we develop ensemble method based on multivariate decompositions taken from blind signal separation techniques. The main idea is to decompose prediction result into constructive and destructive (noises) components. Elimination of the noises from predictions should improve final prediction. One of the key issues in this method is the correct classification and distinction between destructive and constructive components, what provide to random noise detection problem. It can be interpreted in terms of signal similarity, in which the Bose-Einstein divergence can be applied.

Keywords

noise reduction ensemble methods noise identification independent component analysis divergence function 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Ryszard Szupiluk
    • 1
  1. 1.Warsaw School of EconomicsWarsawPoland

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