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Xt_plus_1=fs01(Xt,w); The local linear approximation method of the first order to predict a chaotic time series, after Farmer and Sidorowich,1987
xt=ts1(xr,w); a la takens space for effective forecast of non-correlated sequences tau=w
Example.m
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4.0

4.0 | 1 rating Rate this file 19 Downloads (last 30 days) File Size: 8.23 KB File ID: #17276

Constrained LLA to predict a chaotic time series

01 Nov 2007 (Updated 01 Nov 2007)

It should work with the noisy time series of limited length

File Information
Description	4 files are included in the package: (1) fs01.m - the 1st-order local linear approximation (LLA) very similar to algorithm by Farmer and Sidorowich (1987). Uses constrained linear least squares (lsqlin) and (2) ts1.m - to reconstruct the vectors of the state space. (3) Example.m - runs fs01 and ts1 to predict (4) composite.txt - synthetic time series of decadal average sunspot number
Required Products	Optimization Toolbox
MATLAB release	MATLAB 6.5 (R13)

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Everyone's Tags	chaos, chemistry, forecast, local linear approximation, physics
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Comments and Ratings (2)
25 Jul 2008	Dmitry Volobuev	When using this code please cite the paper: D.M. Volobuev, N.G. Makarenko Forecast of the Decadal Average Sunspot Number, Solar Physics (2008) 249: 121133
29 Jun 2011	ondrej	Hi Dmitry, thanks. It is nice, simple and functional, well commented.

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