Simple noise-reduction method based on nonlinear forecasting

• Main Author: Tan, James Peng Lung
• Other Authors: Interdisciplinary Graduate School (IGS)
• Format: Article
• Language: English
• Published: 2018
• Subjects: Forecasting Error; Multivariate Time Series
• Online Access: https://hdl.handle.net/10356/87351; http://hdl.handle.net/10220/44451
• Institution: Nanyang Technological University

Nonparametric detrending or noise reduction methods are often employed to separate trends from noisy time series when no satisfactory models exist to fit the data. However, conventional noise reduction methods depend on subjective choices of smoothing parameters. Here we present a simple multivariat...