An intelligent memory model for short-term prediction: An application to global solar radiation data

This paper presents a machine learning model for short-term prediction. The proposed procedure is based on regression techniques and on the use of a special type of probabilistic finite automata. The model is built in two stages. In the first stage, the most significant independent variable is detected, then observations are classified according to the value of this variable and regressions are re-run separately for each Group. The significant independent variables in each group are then discretized. The PFA is built with all this information. In the second stage, the next value of the dependent variable is predicted using an algorithm for short term forecasting which is based on the information stored in the PFA. An empirical application for global solar radiation data is also presented. The predictive performance of the procedure is compared to that of classical dynamic regression and a substantial improvement is achieved with our procedure. © 2010 Springer-Verlag.