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A Novel Evolving Clustering Algorithm with Polynomial Regression for Chaotic Time-Series Prediction

Author(s): Widiputra H (Widiputra, Harya)1, Kho H (Kho, Henry), Lukas (Lukas), Pears R (Pears, Russel)1, Kasabov N (Kasabov, Nikola)

Editor(s): Leung CS; Lee M; Chan JH

Source: NEURAL INFORMATION PROCESSING, PT 2, PROCEEDINGS   Book Series: Lecture Notes in Computer Science    Volume: 5864    Pages: 114-121    Published: 2009

Times Cited: 0     References: 9  

Conference Information: 16th International Conference on Neural Information Processing (ICONIP 2009)
King Mongluts Univ Technol Thonburi, Sch Informat Technol, Bangkok, THAILAND, DEC 01-05, 2009
Asia Pacific Neural Network Assembly; Int Neural Network Soc; Japanese Neural Network Soc; European Neural Network Soc; IEEE Computat Intelligence Soc

Abstract: Time-series prediction has been a very well researched topic in recent studies. Some popular approaches to this problem are the traditional statistical methods e.g. multiple linear regression and moving average, and neural network with the Multi Layer Perceptron which has shown its supremacy in time-series prediction. In this study, we used a different approach based on evolving clustering algorithm with polynomial regressions to find repeating local patterns in a time-series data. To illustrate chaotic time-series data we have taken into account the use of stock price data from Indonesian stock exchange market and currency exchange rate data. In addition, we have also conducted a benchmark test using the Mackey Glass data set. Results showed that the algorithm offers a considerably high accuracy in time-series prediction and could also reveal repeating patterns of movement from the past.

Document Type: Proceedings Paper  

Language: English  

Author Keywords: evolving clustering algorithm; polynomial regression; chaotic time-series data  

KeyWords Plus: DISCOVERY  

Reprint Address: Widiputra, H (reprint author), Auckland Univ Technol, Knowledge Engn & Discovery Res Inst, Auckland, New Zealand  
Addresses:
1. Auckland Univ Technol, Knowledge Engn & Discovery Res Inst, Auckland, New Zealand  
E-mail Addresses: harya.widiputra@aut.ac.nz, henry@student.sgu.ac.id, lukas@atmajaya.ac.id, russel.pears@aut.ac.nz, nikola.kasabov@aut.ac.nz

Publisher: SPRINGER-VERLAG BERLIN, HEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY  

IDS Number: BPM40

ISSN: 0302-9743  

ISBN: 978-3-642-10682-8

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