Forecasting Nonstationary Time Series Based on Hilbert-Huang Transform and Machine Learning

V. G. Kurbatsky; D. N. Sidorov; V. A. Spiryaev; N. V. Tomin

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Forecasting Nonstationary Time Series Based on Hilbert-Huang Transform and Machine Learning

机译：基于希尔伯特-黄变换和机器学习的非平稳时间序列预测

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We propose a modification of the adaptive approach to time series forecasting. On the first stage, the original signal is decomposed with respect to a special empirical adaptive orthogonal basis, and the Hilbert's integral transform is applied. On the second stage, the resulting orthogonal functions and their instantaneous amplitudes are used as input variables for the machine learning unit that employs a hybrid genetic algorithm to train an artificial neural network and a regressive model based on support vector machines. The efficiency of the proposed approach is demonstrated on real data coming from Nord Pool Spot and Australian National Energy Market.

机译：我们建议对时间序列预测的自适应方法进行修改。在第一阶段，相对于特殊的经验自适应正交基分解原始信号，并应用希尔伯特积分变换。在第二阶段，将所得的正交函数及其瞬时振幅用作机器学习单元的输入变量，该机器学习单元采用混合遗传算法来训练人工神经网络和基于支持向量机的回归模型。从Nord Pool Spot和澳大利亚国家能源市场获得的真实数据证明了该方法的有效性。

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《Automation and Remote Control》 |2014年第5期|共13页
作者
V. G. Kurbatsky; D. N. Sidorov; V. A. Spiryaev; N. V. Tomin;
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1. Forecasting Nonstationary Time Series Based on Hilbert-Huang Transform and Machine Learning [J] . V. G. Kurbatsky, D. N. Sidorov, V. A. Spiryaev, Automation and Remote Control . 2014,第5期

机译：基于希尔伯特-黄变换和机器学习的非平稳时间序列预测
2. NONSTATIONARY TIME SERIES CONVOLUTION: ON THE RELATION BETWEEN THE HILBERT-HUANG AND FOURIER TRANSFORM [J] . MAIK NEUKIRCH, XAVIER GARCIA Advances in Adaptive Data Analysis . 2013,第1期

机译：非平稳时间序列卷积：关于希尔伯特-黄和傅立叶变换之间的关系
3. Resolving Nonstationary Spectral Information in Wind Speed Time Series Using the Hilbert-Huang Transform [J] . CLAIRE VINCENT, GREGOR GIEBEL, PIERRE PINSON, Journal of Applied Meteorology and Climatology . 2010,第2期

机译：使用Hilbert-Huang变换解决风速时间序列中的非平稳光谱信息
4. A hybrid wind speed forecasting strategy based on Hilbert-Huang transform and machine learning algorithms [C] . Tomin Nikita, Sidorov Denis, Kurbatsky Victor, 2014 International Conference on Power System Technology: Towards Green, Efficient and Smart Power System . 2014

机译：基于希尔伯特-黄变换和机器学习算法的混合风速预测策略
5. Hilbert-Huang transform analysis of hydrological and climatic time series. [D] . Hsu, En-Ching. 2006

机译：Hilbert-Huang变换对水文和气候时间序列的分析。
6. A Model-Based Machine Learning Approach to Probing Autonomic Regulation From Nonstationary Vital-Sign Time Series [O] . Li-wei H. Lehman, Roger G. Mark, Shamim Nemati -1

机译：基于模型的机器学习方法从非平稳生命周期时间序列中探寻自主调节
7. Resolving Nonstationary Spectral Information in Wind Speed Time Series Using the Hilbert-Huang Transform [O] . Vincent Claire Louise, Giebel Gregor, Pinson Pierre, 2010

机译：利用Hilbert-Huang变换解算风速时间序列中的非平稳谱信息
8. Analyzing nonstationary financial time series via hilbert-huang transform (HHT) [R] . 2008

机译：通过希尔伯特 - 黄变换（HHT）分析非平稳金融时间序列

Forecasting Nonstationary Time Series Based on Hilbert-Huang Transform and Machine Learning

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