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Predicting time series using neural networks with wavelet-based denoising layers
Authors:Uros?Lotric  author-information"  >  author-information__contact u-icon-before"  >  mailto:uros.lotric@fri.uni-lj.si"   title="  uros.lotric@fri.uni-lj.si"   itemprop="  email"   data-track="  click"   data-track-action="  Email author"   data-track-label="  "  >Email author,Andrej?Dobnikar
Affiliation:(1) Faculty of Computer and Information Science, University of Ljubljana, Trzaska 25, 1000, Ljubljana, Slovenia
Abstract:To avoid the need to pre-process noisy data, two special denoising layers based on wavelet multiresolution analysis have been integrated into layered neural networks. A gradient-based learning algorithm has been developed that uses the same cost function to set both the neural network weights and the free parameters of the denoising layers. The denoising layers, when integrated into feedforward and recurrent neural networks, were validated on three time series prediction problems: the logistic map, a rubber hardness time series, and annual average sunspot numbers. Use of the denoising layers improved the prediction accuracy in both cases.
Keywords:Feedforward and recurrent neural networks  Wavelet multiresolution analysis  Denoising  Gradient-based threshold adaptation  Time series prediction
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