计算机工程与应用 ›› 2009, Vol. 45 ›› Issue (32): 53-56.DOI: 10.3778/j.issn.1002-8331.2009.32.017

• 研究、探讨 • 上一篇    下一篇

混沌时间序列预测模型的比较研究

李 松1,刘力军2,谷 晨1   

  1. 1.河北大学 管理学院,河北 保定 071002
    2.河北经济贸易大学 旅游学院,石家庄 050061
  • 收稿日期:2009-06-02 修回日期:2009-07-22 出版日期:2009-11-11 发布日期:2009-11-11
  • 通讯作者: 李 松

Comparative study on prediction models for chaotic time series

LI Song1,LIU Li-jun2,GU Chen1   

  1. 1.School of Management,Hebei University,Baoding,Hebei 071002,China
    2.School of Tourism,Hebei University of Economics and Business,Shijiazhuang 050061,China
  • Received:2009-06-02 Revised:2009-07-22 Online:2009-11-11 Published:2009-11-11
  • Contact: LI Song

摘要: 针对目前混沌时间序列预测模型预测结果差异较大的问题,归纳了4种混沌时间序列预测模型:BRF神经网络模型、最大Lyapunov指数模型、局域线性模型和Volterra滤波器自适应预测模型,并对这4种预测模型进行了比较研究。应用4种预测模型对几个典型的非线性系统进行预测仿真。结果表明,这4种预测模型对典型混沌时间序列预测都具有很好的预测效果;在预测精度上BRF模型和Volterra模型明显优于最大Lyapunov指数模型和局域线性模型。

关键词: 时间序列, 预测模型, 混沌理论, 相空间重构

Abstract: Aiming at the prediction precision problem using prediction model for chaotic time series,the 4 prediction models based on chaos theory,such as Radial Basis Function neural network(RBF) model,Lyapunov exponent model,local-region prediction model and Volterra filter model are introduced.Besides,the 4 prediction models are comparative studied.The time series of several typical nonlinear systems are predicted by the 4 prediction models.The simulation results show that the proposed 4 prediction models have effective prediction results for typical nonlinear systems.The RBF model and the Volterra filter model have the better performances on the precision accuracy.

Key words: time series, prediction model, chaos theory, phase space reconstruction

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