Online prediction for multivariate time series by echo state network based on square-root cubature Kalman filter
Meiling Xu, Min Han · 2014
Considering the problem of multivariate time series prediction, this paper proposes an online prediction model for multivariable time series by echo state network (ESN) based on square-root cubature Kalman filter. The model uses echo state network to map the nonlinear relationship between input and output, subsequently, updates the output weights of reservoir online by square-root cubature Kalman filter (SCKF) with three-order approximation for nonlinear functions. We add outlier detection into the filter algorithm, avoiding the adverse effect on the follow-up time series prediction. Experiment results on multivariate benchmark dataset and observed dataset demonstrate the effectiveness of the proposed model.