Missing and noisy data in nonlinear time-series prediction

Abstract

We discuss the issue of missing and noisy data in nonlinear time-series prediction. We derive fundamental equations both for prediction and for training. Our discussion shows that if measurements are noisy or missing, treating the time series as a static input/output mapping problem (the usual time-delay neural network approach) is suboptimal. We describe approximations of the solutions which are based on stochastic simulations. A special case is K-step prediction in which a one-step predictor is iterated K times. Our solutions provide error bars for prediction with missing or noisy data and for K-step prediction. Using the K-step iterated logistic map as an example, we show that the proposed solutions are a considerable improvement over simple heuristic solutions. Using our formalism we derive algorithms for training recurrent networks, for control of stochastic systems and for reinforcement learning problems.