An Implementation of the Mycielski Algorithm as a Predictor in R

Journal of Fundamentals of Renewable Energy and Applications

article

Carsten Croonenbroeck¹  Daniel Ambach² 

[1] Department of Environmental Science, University of Rostock;Department of Statistics, European University

关键词: Time series analysis;    Predictor;    Forecasting;    Mycielski;    R;   

DOI  :  10.4172/2090-4541.1000195

来源: Ashdin Publishing

【 摘 要 】

Univariate time series analysis is usually performed by arbitrarily complex parametric modeling. At least for prediction, a simple non-parametric alternative is the Mycielski algorithm, a forecasting method based on pat- tern matching. The reproducible research presented here shows how to perform out of sample forecasts using the methodology of Mycielski. The algorithm provides well results in scenarios where usual univariate models such as ARIMA family models return limited accuracy. In this article we describe the idea of the Mycielski based prediction algorithm in general. We contribute a reference implementation in R and give a short example.

【 授权许可】

Unknown