Time Series Prediction Using Recurrent SOM with Local Linear Models

摘要

A newly proposed Recurrent Self-Organizing Map (RSOM) is studies in time seriesprediction. In this approach RSOM is used to cluster the data to local data sets and local linear models corresponding each of the map units are then estimated based on the local data sets. A traditional way of clustering the data is to use a windowing technique to split it to input vectors of certain length.