Monthly
288 pp. per issue
6 x 9, illustrated
ISSN
0899-7667
E-ISSN
1530-888X
2014 Impact factor:
2.21

Neural Computation

April 1, 1996, Vol. 8, No. 3, Pages 583-593
(doi: 10.1162/neco.1996.8.3.583)
© 1996 Massachusetts Institute of Technology
Predictive Minimum Description Length Criterion for Time Series Modeling with Neural Networks
Article PDF (531.69 KB)
Abstract

Nonlinear time series modeling with a multilayer perceptron network is presented. An important aspect of this modeling is the model selection, i.e., the problem of determining the size as well as the complexity of the model. To overcome this problem we apply the predictive minimum description length (PMDL) principle as a minimization criterion. In the neural network scheme it means minimizing the number of input and hidden units. Three time series modeling experiments are used to examine the usefulness of the PMDL model selection scheme. A comparison with the widely used cross-validation technique is also presented. In our experiments the PMDL scheme and the cross-validation scheme yield similar results in terms of model complexity. However, the PMDL method was found to be two times faster to compute. This is significant improvement since model selection in general is very time consuming.