Adaptive Nonlinear Vector Autoregression: Robust Forecasting for Noisy Chaotic Time Series
Read the original on arXiv AI →The paper introduces a data‑adaptive nonlinear vector autoregression (NVAR) model that replaces fixed polynomial or random feature maps with a shallow, trainable multilayer perceptron (MLP). By jointly training the MLP and a linear readout via gradient‑based optimization, the model learns data‑driven nonlinearities while maintaining a simple readout structure, improving scalability in high‑dimensional settings. Experiments on several chaotic systems, both noise‑free and synthetically noisy, show that this adaptive NVAR outperforms standard NVAR, a leaky echo state network (ESN), and a hybrid ESN in predictive accuracy, demonstrating robust forecasting under noisy conditions.
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