Double quantization of the regressor space for long-term time series prediction: method and proof of stability.

Simon, Geoffroy; Lendasse, Amaury; Cottrell, Marie; Fort, Jean-Claude; Verleysen, Michel · Neural Netw · 2004

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Abstract

The Kohonen self-organization map is usually considered as a classification or clustering tool, with only a few applications in time series prediction. In this paper, a particular time series forecasting method based on Kohonen maps is described. This method has been specifically designed for the prediction of long-term trends. The proof of the stability of the method for long-term forecasting is given, as well as illustrations of the utilization of the method both in the scalar and vectorial cases.

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