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Prediction of chaotic time series using hidden Markov models

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2 Author(s)
Stamp, D.I. ; Dept. of Electr. Eng. & Electron., Liverpool Univ., UK ; Wu, Q.H.

This paper describes a methodology of prediction of a chaotic time series as an equivalent stochastic process. It is shown that there is theoretical justification for such a model, and a model is constructed analytically for a known simple chaotic mapping. Possible models for unknown chaotic systems along with methods for estimating their parameters from time series are suggested and their characteristics discussed

Published in:

Control '98. UKACC International Conference on (Conf. Publ. No. 455)

Date of Conference:

1-4 Sep 1998