State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory

A new model is proposed to represent a general vector nonstationary and nonlinear process by setting up a state-dependent vector hybrid linear and nonlinear autoregressive moving average (SVH-ARMA) model. The linear part of the process is represented by a vector ARMA model, the nonlinear part is represented by a vector nonlinear ARMA model employing a multilayer feedforward neural network, and the nonstationary characteristics are captured with a hidden Markov chain. Based on a unifiedQ-likelihood function, an expectation-maximization algorithm for model identification is derived, and the model parameters are estimated by applying a state-dependent training and nonlinear optimization technique iteratively, which finally yields maximum likelihood estimation of model parameters. This model can track the nonstationary varying of a vector linear and/or nonlinear process adaptively and represent a vector linear and/or nonlinear system with low order. Moreover, it is able to characterize and track the long-range, second-order correlation features of many time series and thus can be used for reliable multiple step ahead prediction. Some impressive applications of the SVH-ARMA model are being presented in the companion paper by Zheng et al., pp. 575–597, this issue.     

基于EMD-SVM的江水浊度预测方法研究

针对江水浊度序列宽频、非线性、非平稳的特点,将经验模态分解(EMD)和支持向量机(SVM)回归方法引入浊度预测领域,建立了基于EMD-SVM的浊度预测模型.通过EMD分解,将原始非平稳的浊度序列分解为若干固有模态分量(IMF),根据各IMF序列的特点,选择不同的参数对各IMF序列进行预测,最后合成原始序列的预测值.将该方法应用于实际浊度预测,并与径向基神经网络(RBF)预测及单独支持向量机回归预测结果进行比较,仿真结果表明该方法预测精度有明显提高.     

海杂波的短时非线性预测研究

海杂波预测是雷达信号处理和目标检测的研究热点。在海杂波具有混沌特性和非线性非平稳特点的基础上,研究了基于归一化RBF神经网络和最小二乘支持向量机（LSSVM）两种方法对海杂波时间序列进行非线性预测。考虑到海杂波是来自于移动海面的回波,预测应该考虑空间信息,因此提出一种基于LSSVM-耦合映像格子（CML）的海杂波时空预测,这样预测更具有物理意义。以实测海杂波数据作为预测的初始数据和预测效果比对,采用均方差和最大绝对误差作为预测效果评价标准。实验结果表明,由于LSSVM-CMI,算法考虑了海杂坡的时空信息,预测效果最优。     

基于非平稳时序ARIMA模型的W频段雨衰预测

针对目前绝大多数雨衰预测模型仅验证到55 GHz,而经过验证的W频段预测模型相对较少,且存在模型表述复杂度高、计算量大的问题,该文提出一种结构简单、计算量小的实时预测方法。该方法基于ARIMA模型,利用非平稳雨衰时序中相邻时序间的相关性建立预测模型,对初始序列进行平稳性检验,通过差分变换将非平稳序列转化为平稳序列,并对平稳化后的时间序列进行参数估计及诊断检验,将传统非线性预测转化为线性预测。并先将该ARIMA(1,1,6)模型在不同极化方式、预测间隔和时序个数的条件下进行比较,然后分别与ITU-R, Silva Mello模型在垂直极化、预测间隔0.10 GHz,时序个数50的条件下进行比较,最后使用ARIMA(1,1,6)模型进行预测,并对照预测序列与仿真序列的吻合度。结果表明,ARIMA模型与ITU-R, Silva Mello模型所得结果预测误差不超过10-3 ,且衰减变化趋势基本相同,预测序列与仿真序列间吻合度较高,说明该方法可用于W频段雨衰预测,且预测精度高,模型表述简单。     

一种新型GM(1,1)-AR预测模型在陀螺漂移中的应用

为了对陀螺漂移趋势进行更有效的预测,提出一种基于小波分析的新型GM(1,1)-AR时间序列预测算法。该算法通过运用小波分解算法将陀螺漂移数据中的趋势项和随机项进行分离,然后分别运用GM(1,1)模型和AR时间序列预测模型对趋势项和随机项进行预测,最后用小波重构算法得出最终的预测值。给出了一种算法及具体步骤,最后用某型导弹陀螺漂移数据进行仿真实验,以检验这种算法的有效性和可行性,结果表明这种预测算法应用于陀螺漂移趋势预测是可行的。     

基于小波支撑矢量机的陀螺仪漂移预测

提出了基于小波支撑矢量机的导弹惯性器件故障预报方法。将子波核函数应用于支撑矢量机,得到小波支撑矢量机（WSVM）方法,用于某陀螺仪漂移时间序列预测中,预测精度优于基于传统核函数的支撑矢量机。通过仿真实验证明了算法的有效性和可行性。     

A nonlinear Bayesian filtering framework for ECG denoising

In this paper, a nonlinear Bayesian filtering framework is proposed for the filtering of single channel noisy electrocardiogram (ECG) recordings. The necessary dynamic models of the ECG are based on a modified nonlinear dynamic model, previously suggested for the generation of a highly realistic synthetic ECG. A modified version of this model is used in several Bayesian filters, including the Extended Kalman Filter, Extended Kalman Smoother, and Unscented Kalman Filter. An automatic parameter selection method is also introduced, to facilitate the adaptation of the model parameters to a vast variety of ECGs. This approach is evaluated on several normal ECGs, by artificially adding white and colored Gaussian noises to visually inspected clean ECG recordings, and studying the SNR and morphology of the filter outputs. The results of the study demonstrate superior results compared with conventional ECG denoising approaches such as bandpass filtering, adaptive filtering, and wavelet denoising, over a wide range of ECG SNRs. The method is also successfully evaluated on real nonstationary muscle artifact. This method may therefore serve as an effective framework for the model-based filtering of noisy ECG recordings.     

一种改进的基于经验模态分解的小波阈值滤波方法

经验模态分解是一种新的信号分解方法,该方法可将非线性非平稳信号分解成若干个单分量的本征模态函数,使得每个本征模态函数都具有一定的物理意义。本文探索了该方法在语音增强方面的应用.在文献[8]的基础上,对其方法进行了有效改进。首先将带噪语音进行经验模态分解,得到六个本征模态函数和一个余量信号,对这七个信号分别进行小波阈值滤波,并由滤波后的七个信号重构语音。结果表明,该方法的滤波效果明显优于对带噪语音直接采用小波阈值滤波的方法,并且较之文献[8]的滤波方法也具有一定的优势。     

基于小波支持向量机的VBR视频流量预测

：VBR视频流量具有时变性、突发性和非线性等变化特点,为了提高VBR视频流量的预测精度,提出一种小波支持向量机的VBR视频流量预测模型(WSVM)。首先对VBR视频流量时间序列进行相空间重构,然后将其输入到小波支持向量机进行学习,建立VBR视频流量预测模型,最后采用仿真实验对模型性能进行测试,并与支持向量机、小波神经网络进行对比。仿真结果表明,相对于其它预测模型,WSVM模型提高了VBR视频流量预测精度,能够更加准确反映VBR视频流量的复杂变化规律。     

基于经验模分解的小波阈值滤波方法研究

信号的多分辨经验模分解方法可以解释为以信号极值特征尺度为度量的时空滤波过程。这种时空滤波器充 分保留了信号本身的非线性和非平稳特征,在信号的滤波和去噪中具有较大的优势。本文提出了一种基于经验模分解的小 波阈值滤波去噪方法,并和小波阈值去噪、多尺度EMD滤波效果相比较。实验结果表明了基于经验模分解的小波阈值去 噪具有广泛的适用性和独特的去除非平稳信号的有色噪声的优势。     

Network traffic prediction based on a new time series model

Fast and accurate methods for predicting traffic properties and trend are essential for dynamic network resource management and congestion control. With the aim of performing online and feasible prediction of network traffic, this paper proposes a novel time series model, named adaptive autoregressive (AAR). This model is built upon an adaptive memory‐shortening technique and an adaptive‐order selection method originally developed by this study. Compared to the conventional one‐step ahead prediction using traditional Box–Jenkins time series models (e.g. AR, MA, ARMA, ARIMA and ARFIMA), performance results obtained from actual Internet traffic traces have demonstrated that the proposed AAR model is able to support online prediction of dynamic network traffic with reasonable accuracy and relatively low computation complexity. Copyright © 2005 John Wiley & Sons, Ltd.     

基于时间序列分解的信号挖掘与预测

随着电磁信号环境日趋复杂以及通信设备数量的不断增加,电磁信号受到干扰问题逐渐加剧。因此,对于信号在不同噪声环境下的接收与处理技术的研究以及在复杂的电磁环境中对信号各项数据指标及其携带信息的利用十分关键。为了解在不同电磁环境下含噪信号的性能表现,提高信号的利用质量及可靠性,本文提出一种基于时间序列分解的电磁数据处理方法。建立了基于加法季节性时间序列分解的含噪信号处理模型,并利用该模型对信号在有噪环境下的表现与规律性、趋势、误码率等性能进行分析与评估,对原始信息、载波信息进行挖掘预测。与传统方法相比,本文提出的基于时间序列分解的信号挖掘与预测模型在高噪环境下对信号预测更为准确。     

基于小波分解的AR-SVR一类非平稳时间序列预测

本文提出了一种基于小波分解的均值具有趋向性的非平稳时间序列预测方法。方法首先利用具有平移不变性的小波分解,分离非平稳时间序列中的长期趋势和高频信息(短期行为),然后对高频信息构建自回归AR模型,而对于趋势则利用支撑向量回归(SVR)进行拟合,最后将各模型的预测结果进行叠加,从而得到原始序列的预测值。这样保证了充分拟合长期趋势的同时,避免了短期行为造成的过拟合。最后的实验结果表明本文提出的这类非平稳时间序列预测方法是有效的。     

改进的基于时变FARIMA模型和小波变换的网络流量预测算法

网络的流量特性是反映网络实时状态的一个重要特征,对于网络流量的分析、预测一直是该领域的研究热点。传统的基于时间序列模型的方法在计算效率和多尺度分析能力方面存在一定的局限性。本文提出了一种改进的基于小波变换和时变FARIMA模型的流量预测方法,利用小波变换的多尺度分析特性将原有的流量数据进行分解,在使用时变FARIMA模型进行预测,可大大提高算法的执行效率和预测的准确性。最后,本文选取了Bellcore提供的真实的网络流量进行了仿真实验,验证了提出的预测方法的准确性和有效性。     

基于小波分解和SVM的城市大气污染浓度预测

使用一种结合小波分解和支持向量机的方法建立城市大气污染物浓度预测模型。首先将大气污染物浓度数据序列小波分解和重构为不同频段的分解序列,然后对各分解序列使用不同的模型进行预测,最后将各分解序列的预测结果合成为浓度的最终预测结果。实验结果表明,该模型的预测精度优于RBF神经网络模型及一般支持向量机模型。     

Neural-network-based adaptive matched filtering for QRS detection

We have developed an adaptive matched filtering algorithm based upon an artificial neural network (ANN) for QRS detection. We use an ANN adaptive whitening filter to model the lower frequencies of the ECG which are inherently nonlinear and nonstationary. The residual signal which contains mostly higher frequency QRS complex energy is then passed through a linear matched filter to detect the location of the QRS complex. We developed an algorithm to adaptively update the matched filter template from the detected QRS complex in the ECG signal itself so that the template can be customized to an individual subject. This ANN whitening filter is very effective at removing the time-varying, nonlinear noise characteristic of ECG signals. Using this novel approach, the detection rate for a very noisy patient record in the MIT/BIH arrhythmia database is 99.5%, which compares favorably to the 97.5% obtained using a linear adaptive whitening filter and the 96.5% achieved with a bandpass filtering method.     

Online Fault Prediction Based on Combined AOSVR and ARMA Models

Accurate fault prediction can obviously reduce cost and decrease the probability of accidents so as to improve the performance of the system testing and maintenance. Traditional fault prediction methods are always offline that are not suitable for online and real-time processing. For the complicated nonlinear and non-stationary time series, it is hard to achieve exact predicting result with single models such as support vector regression （SVR）, artifieial neural network （ANN）, and autoregressive moving average （ARMA）. Combined with the accurate online support vector regression （AOSVR） algorithm and ARMA model, a new online approach is presented to forecast fault with time series prediction. The fault trend feature can be extracted by the AOSVR with global kernel for general fault modes. Moreover, its prediction residual that represents the local high-frequency components is synchronously revised and compensated by the sliding time window ARMA model. Fault prediction with combined AOSVR and ARMA can be realized better than with the single one. Experiments on Tennessee Eastman process fault data show the new method is practical and effective.     

Adaptive Volterra filtering with complete lattice orthogonalization

The article presents a new recursive least squares (RLS) adaptive nonlinear filter, based on the Volterra series expansion. The main approach is to transform the nonlinear filtering problem into an equivalent multichannel, but linear, filtering problem. Then, the multichannel input signal is completely orthogonalized using sequential processing multichannel lattice stages. With the complete orthogonalization of the input signal, only scalar operations are required, instability problems due to matrix inversion are avoided and good numerical properties are achieved. The avoidance of matrix inversion and vector operations reduce the complexity considerably, making the filter simple, highly modular and suitable for VLSI implementations. Several experiments demonstrating the fast convergence properties of the filter are also included     

基于动态加权LS-SVM的网络流量混沌预测

网络流量是具有复杂非线性、不确定时变性的混沌时间序列.为提高标准最小二乘支持向量机的预测精度与自适应性,提出一种基于动态加权最小二乘支持向量机的网络流量混沌预测方法.该方法在标准LS-SVM回归机的训练样本误差设置时间权,增强对非线性样本的逼近能力.然后结合滚动窗与迭代求逆法实现模型动态在线校正,进而克服网络变化时的累积误差.仿真实验结果表明,相对常规LS-SVM,该模型能降低预测误差、减少计算时间,实现高精度实时混沌流量估计.     

小波神经网络在短时交通流量预测中的应用

随着交通基础设施建设和智能运输系统的发展,交通规划和交通诱导成为交通领域的研究热点,对交通规划和交通诱导而言,准确的交通流量预测是其实现的前提和关键。短时交通流量预测是一个时间序列预测问题,文中应用小波神经网络对短时交通流量进行了预测。首先,对神经网络、小波分析等相关理论进行了简要介绍。在此基础上,采用5-7-1小波神经网络结构,以Morlet小波基函数作为隐含层节点的传递函数,将车流量数据输入该模型中,以训练小波神经网络,并用训练好的神经网络来预测短时交通流量。从预测结果来看,小波神经网络的预测结果较为准确,网络预测值接近期望值,效果较好。