Extended and unscented Kalman filtering based feedforward neural networks for time series prediction

DOI10.1016/J.APM.2011.07.052MaRDI QIDQ437862zbMATH OpenOpenAlexFDO

Authors Xuedong Wu, Yaonan Wang

Publication date 20 July 2012

Published in Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apm.2011.07.052

zbMATH Keywords

feedforward neural networknonlinear filtering approachestime series prediction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites work

• scientific article; zbMATH DE number 1042219 (Why is no real title available?)
• A probabilistic method for assisting knowledge extraction from artificial neural networks used for hydrological prediction
• Kalman filtering with real-time applications
• Oscillation and chaos in physiological control systems
• Training radial basis neural networks with the extended Kalman filter

Cited in

(7)

• A marginalized unscented Kalman filter for efficient parameter estimation with applications to finite element models
• Filtering based multi-innovation extended stochastic gradient algorithm for Hammerstein nonlinear system modeling
• Multi-step prediction of time series with random missing data
• Nonlinear autoregressive neural network and extended Kalman filters for prediction of financial time series
• Multiple sparse-grid Gauss-Hermite filtering
• An application of neural networks trained with Kalman filter variants (EKF and UKF) to heteroscedastic time series forecasting
• Training Dynamic Neural Networks Using the Extended Kalman Filter for Multi-Step-Ahead Predictions

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