Kernel-based prediction of non-Markovian time series

Faheem Gilani, Dimitrios Giannakis, John Harlim

Research output: Contribution to journalArticlepeer-review

Abstract

A nonparametric method to predict non-Markovian time series of partially observed dynamics is developed. The prediction problem we consider is a supervised learning task of finding a regression function that takes a delay-embedded observable to the observable at a future time. When delay-embedding theory is applicable, the proposed regression function is a consistent estimator of the flow map induced by the delay-embedding. Furthermore, the corresponding Mori–Zwanzig equation governing the evolution of the observable simplifies to only a Markovian term, represented by the regression function. We realize this supervised learning task with a class of kernel-based linear estimators, the kernel analog forecast (KAF), which are consistent in the limit of large data. In a scenario with a high-dimensional covariate space, we employ a Markovian kernel smoothing method which is computationally cheaper than the Nyström projection method for realizing KAF. In addition to the guaranteed theoretical convergence, we numerically demonstrate the effectiveness of this approach on higher-dimensional problems where the relevant kernel features are difficult to capture with the Nyström method. Given noisy training data, we propose a nonparametric smoother as a de-noising method. Numerically, we show that the proposed smoother is more accurate than EnKF and 4Dvar in de-noising signals corrupted by independent (but not necessarily identically distributed) noise, even if the smoother is constructed using a data set corrupted by white noise. We show skillful prediction using the KAF constructed from the denoised data.

Original languageEnglish (US)
Article number132829
JournalPhysica D: Nonlinear Phenomena
Volume418
DOIs
StatePublished - Apr 2021

Keywords

  • Delay-embedding
  • Kernel analog forecast
  • Markovian kernel smoothing
  • Mori–Zwanzig formalism
  • Nonparametric smoother
  • Nyström method

ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Mathematical Physics
  • Condensed Matter Physics
  • Applied Mathematics

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