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Showing posts with label Synthetic Data. Show all posts
Showing posts with label Synthetic Data. Show all posts
Tuesday, 28 February 2023

Kalman Filter and Sensor Fusion.

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In the Spring of 2012 and again in the Spring of 2019 I posted a series of posts about the  Kalman Filter , which readers can access via the...
Thursday, 18 June 2020

More Work on RVFL Networks

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Back in November last year I posted about Random Vector Functional Link (RVFL) networks here and here . Since then, along with my recent wo...
Wednesday, 30 October 2019

Weight Agnostic Neural Net Training

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I have recently come across the idea of weight agnostic neural net training and have implemented a crude version of this combined with the ...
Saturday, 12 October 2019

Another Method of Creating Synthetic Data

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Over the years I have posted about several different methodologies for creating synthetic data and I have recently come across yet another o...
Monday, 16 September 2019

The Ideal Tau for Time Series Embedding?

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In my Preliminary Test Results of Time Series Embedding post I got a bit ahead of myself and mistakenly quoted the ideal embedding length (...
Thursday, 5 September 2019

Preliminary Test Results of Time Series Embedding

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Following on from my post yesterday , this post presents some preliminary results from the test I was running while writing yesterday's ...
Thursday, 6 June 2019

Determining the Noise Covariance Matrix R for a Kalman Filter

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An important part of getting a Kalman filter to work well is tuning the process noise covariance matrix Q and the measurement noise covaria...
Friday, 2 March 2018

Hidden Markov Modelling of Synthetic Periodic Time Series Data

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I am currently working on a method of predicting/projecting cyclic price action, based upon John Ehlers' sinewave indicator code , and t...
Thursday, 20 March 2014

Update on Recent Work

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It has been almost two months since my last post and during this time I have been working on a few different things, all related in one way ...
2 comments:
Sunday, 17 November 2013

Brownian Bands

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For the past few weeks I have been working on the idea presented in my earlier modelling prices using brownian motion post and below is a v...
1 comment:
Thursday, 31 October 2013

Exploratory Data Analysis of Brownian Motion Model

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For my first steps in investigating the earlier proposed  Brownian motion model I thought I would use some Exploratory Data Analysis techn...
Sunday, 27 October 2013

Modelling Prices Using Brownian Motion.

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As stated in my previous post I'm going to rewrite my data generation code for future use in online training of neural nets, and the app...
6 comments:
Saturday, 26 October 2013

Change of Direction in Neural Net Training.

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Up till now when training my neural net classifier I have been using what I call my "idealised" data, which is essentially a model...
3 comments:
Sunday, 22 September 2013

Savitzky-Golay Filters in Action

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As a first step in investigating SG filters I have simply plotted them on samples of my idealised time series data, three samples shown belo...
Monday, 15 July 2013

My NN Input Tweak

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As I said in my previous post, I wanted to come up with a "principled" method of transforming market data into inputs more suitabl...
3 comments:
Tuesday, 11 June 2013

Random Permutation of Price Series

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As a prelude to the tests mentioned in my previous post it has been necessary to write code to randomly permute price data, and in the code ...