Forecasting Short Time Series with Missing Data by Means of Energy Associated to Series

Cristian Rodríguez Rivero; Julián Pucheta; Sergio Laboret; Daniel Patiño; Víctor Sauchelli

doi:10.4236/am.2015.69143

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AM> Vol.6 No.9, August 2015

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Forecasting Short Time Series with Missing Data by Means of Energy Associated to Series

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DOI: 10.4236/am.2015.69143 2,596 Downloads 3,240 Views Citations

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Cristian Rodríguez Rivero¹, Julián Pucheta¹, Sergio Laboret¹, Daniel Patiño², Víctor Sauchelli¹

Affiliation(s)

¹Department of Electronic Engineering, Universidad Nacional de Córdoba, Córdoba, Argentina.
²Institute of Automatic, Universidad Nacional de San Juan, San Juan, Argentina.

ABSTRACT

In this work an algorithm to predict short times series with missing data by means energy associated of series using artificial neural networks (ANN) is presented. In order to give the prediction one step ahead, a comparison between this and previous work that involves a similar approach to test short time series with uncertainties on their data, indicates that a linear smoothing is a well approximation in order to employ a method for uncompleted datasets. Moreover, in function of the long- or short-term stochastic dependence of the short time series considered, the training process modifies the number of patterns and iterations in the topology according to a heuristic law, where the Hurst parameter H is related with the short times series, of which they are considered as a path of the fractional Brownian motion. The results are evaluated on high roughness time series from solutions of the Mackey-Glass Equation (MG) and cumulative monthly historical rainfall data from San Agustin, Cordoba. A comparison with ANN nonlinear filters is shown in order to see a better performance of the outcomes when the information is taken from geographical point observation.

KEYWORDS

Artificial Neural Networks, Rainfall Forecasting, Energy Associated to Time Series, Hurst’s Parameter

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

Rivero, C. , Pucheta, J. , Laboret, S. , Patiño, D. and Sauchelli, V. (2015) Forecasting Short Time Series with Missing Data by Means of Energy Associated to Series. Applied Mathematics, 6, 1611-1619. doi: 10.4236/am.2015.69143.

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