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Time-series forecasting through recurrent topology

nature.com

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Re: Time-series forecasting through recurrent topology

#11
post #8

Earlier quoted context omitted.

There's an earlier paper [0] involving the same authors which explains this a bit better. AIUI, they use the 3x3 neighbourhoods to capture local directional and curvature (i.e. gradient) information in the distance matrix. They then apply two heuristics (reduction to an 8-bit binary number and binning into sextiles) to reduce the floating point gradient information to coarse integers to aid pattern recognition. The m…

Thanks. What I don’t understand is how searching for previous patterns that are similar helps in predicting timelines that are chaotic (it seems to be quite good at that).

It only helps because the chaotic system under consideration has periodic components.

The attractor shown in figure 1e has such periodic components, and identifying these does help, but only with very near term forecasting. When the accumulated forecast error crosses a threshold, it suddenly causes a large phase error, best seen from about point 75 onwards in the x and y components. From that point onwards the forecast is useless.

Re: Time-series forecasting through recurrent topology

#12
There are several problems with the paper and with the idea itself.

First, code is unavailable - github repository [1] does not contain any code.

[1] https://github.com/tgchomia/ts

The algorithm, itself, has some black holes. For example, 256 integer codes are turned into 6 groups at some point. How? Why six groups?

Algorithm, also, does not create a model per se, it needs a history of previous observations to compute predictions from.

What is interesting there is that contexts are compared on the curvatures in them, not on actual values. This generalizes to many applications, including language modeling, I think.

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