Double quantization of the regressor space for long-term time series prediction: method and proof of stability

Abstract

The Kohonen self-organization map is usually considered as a classification or clustering tool, with only a few applications in time series prediction. In this paper, a particular time series forecasting method based on Kohonen maps is described. This method has been specifically designed for the prediction of long-term trends. The proof of the stability of the method for long-term forecasting is given, as well as illustrations of the utilization of the method both in the scalar and vectorial cases.