Abstract
Kernel recursive least squares (KRLS) is a kind of kernel methods, which has attracted wide attention in the research of time series online prediction. It has low computational complexity and updates in a recursive form. However, as data size increases, computational complexity of calculating kernel inverse matrix will raise. And it has some difficulties in accommodating time-varying environments. Therefore, we have presented an improved KRLS algorithm for multivariate chaotic time series online prediction. Approximate linear dependency, dynamic adjustment, and coherence criterion are combined with quantization to form our improved KRLS algorithm. In the process of online prediction, it can bring computational efficiency up and adjust weights adaptively in time-varying environments. Moreover, Lorenz chaotic time series, El Nino-Southern Oscillation indexes chaotic time series, yearly sunspots and runoff of the Yellow River chaotic time series online prediction are presented to prove the effectiveness of our proposed algorithm.
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