Time Series Prediction by Multivariate Next Neighbor Methods
Zhou Shu · 2002
In the non linear dynamics system,next neighbor prediction methods have been successfully applied to univariate time series.This paper generalizes these methods,in particular,center of mass prediction (COM prediction)and local linear prediction(LL prediction),to multivariate time series.The use of multiariate prediction techniques is especially useful when time series are short but several variables have been measured simultaneously.These additional variables can sometimes supply more effective information,thus obtaining better prediction results.