Moments of Predictive Deviations for Ensemble Diversity Measures to Estimate the Performance of Time Series Prediction

  • Kohei Ono
  • Shuichi Kurogi
  • Takeshi Nishida
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7667)


This paper presents an analysis of moments of predictive deviations as measures of ensemble diversity to estimate the performance of time series prediction. As an extension of the ambiguity decomposition of bagging ensemble, we decompose the fourth power of ensemble prediction error and clarify the effect of the moments of predictive deviations of ensemble members to the ensemble prediction error. We utilize this analysis for estimating the performance of time sires prediction, and show the effectiveness by means of numerical experiments.


Moments of predictive deviations Ensemble diversity measures Performance estimation Time series prediction 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Kohei Ono
    • 1
  • Shuichi Kurogi
    • 1
  • Takeshi Nishida
    • 1
  1. 1.Kyushu Institute of technologyFukuokaJapan

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