Extracting the relevant delays in time series modelling

@inproceedings{Goutte1997ExtractingTR,
  title={Extracting the relevant delays in time series modelling},
  author={Cyril Goutte},
  year={1997}
}
In this contribution, we suggest a convenient way to use generalisation error to extract the relevant delays from a timevarying process, i.e. the delays that lead to the best prediction performance. We design a generalisation-based algorithm that takes its inspiration from traditional variable selection, and more precisely stepwise forward selection. The method is compared to other forward selection schemes, as well as to a non-parametric tests aimed at estimating the embedding dimension of… CONTINUE READING

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