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Neural Network Based Lag Selection, for Multivariate Time Series
- In this work we present and estimate an explanatory model with a predefined system of explanatory equations, a so called lag dependent model. We present a locally optimal, on blocked neural network based lag estimator and theorems about consistensy. We define the change points in context of lag dependent model, and present a powerfull algorithm for change point detection in high dimensional high dynamical systems. We present a special kind of bootstrap for approximating the distribution of statistics of interest in dependent processes.
- Auf neuronalen Netzen basierte Suche nach Totzeiten in multivarianten Zeitreihen
Author: | Alex Sarishvili |
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URN: | urn:nbn:de:bsz:386-kluedo-15096 |
Advisor: | Jürgen Franke |
Document Type: | Doctoral Thesis |
Language of publication: | English |
Year of Completion: | 2002 |
Year of first Publication: | 2002 |
Publishing Institution: | Technische Universität Kaiserslautern |
Granting Institution: | Technische Universität Kaiserslautern |
Acceptance Date of the Thesis: | 2002/02/26 |
Date of the Publication (Server): | 2002/10/16 |
Tag: | Neural Networks; Nonlinear time series analysis; time delays |
GND Keyword: | Neuronales Netz; Time-delay-Netz; ITSM |
Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |