Accession Number : ADA293841

Title :   Nonlinear Time Series Analysis.

Descriptive Note : Master's thesis,

Corporate Author : AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH SCHOOL OF ENGINEERING

Personal Author(s) : Stewart, James A.

PDF Url : ADA293841

Report Date : MAR 1995

Pagination or Media Count : 91

Abstract : This thesis applies neural network feature selection techniques to multivariate time series data to improve prediction of a target time series. Two approaches to feature selection are used. First, a subset enumeration method is used to determine which financial indicators are most useful for aiding in prediction of the S&P 500 futures daily price. The candidate indicators evaluated include RSI, Stochastics and several moving averages. Results indicate that the Stochastics and RSI indicators result in better prediction results than the moving averages. The second approach to feature selection is calculation of individual saliency metrics. A new decision boundary-based individual saliency metric, and a classifier independent saliency metric are developed and tested. Ruck's saliency metric, the decision boundary based saliency metric, and the classifier independent saliency metric are compared for a data set consisting of the RSI and Stochastics indicators as well as delayed closing price values. The decision based metric and the Ruck metric results are similar, but the classifier independent metric agrees with neither of the other metrics. The nine most salient features, determined by the decision boundary based metric, are used to train a neural network and the results are presented and compared to other published results. (AN)

Descriptors :   *NEURAL NETS, *TIME SERIES ANALYSIS, DATA BASES, MATHEMATICAL MODELS, OPTIMIZATION, STOCHASTIC PROCESSES, DECISION MAKING, DISTRIBUTED DATA PROCESSING, MULTIVARIATE ANALYSIS, COMPARISON, TARGET RECOGNITION, MOTION, THESES, REGRESSION ANALYSIS, BOUNDARIES, MATHEMATICAL PREDICTION, PATTERN RECOGNITION, NONLINEAR ANALYSIS, COMPUTER FILES, SELECTION, DAILY OCCURRENCE.

Subject Categories : Cybernetics
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE