ISSN 0869-6632 (Print)
ISSN 2542-1905 (Online)

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Sysoeva M. V., Dikanev T. V., Sysoev I. V. Selecting time scales for empirical model construction. Izvestiya VUZ. Applied Nonlinear Dynamics, 2012, vol. 20, iss. 2, pp. 54-62. DOI: 10.18500/0869-6632-2012-20-2-54-62

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530.182, 51-73

Selecting time scales for empirical model construction

Sysoeva Marina Vyacheslavovna, Yuri Gagarin State Technical University of Saratov
Dikanev Taras Viktorovich, Huawei Technologies Co in Russia
Sysoev Ilya V., Saratov State University

The task is considered of taking into account the multiple time scales of original time series, with these time series being used for Granger causality estimation. It is proposed to use the combination of prediction length and lag, different in value, that could be fruitful for comparatively short times series, e. g. of medical-biological nature. The automated methods are constructed to select lag and prediction length values. The proposed approach is tested on a set of examples – ethalon systems. Based on this consideration the concrete proposal for prediction length value is formulated.

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