MATLAB: How to use Automatic Relevance Determination (ARD) to determine the window-size in time series forecasting

automatic relevance determinationforecastingMATLABneural networkstime series

Hello,
I want to do a one step ahead prediction with my time series using neural networks. I have read some where that using ARD we can determine the appropriate size of windows for creating the training set. In other words we can determine the appropriate number of inputs for the neural network. Could you please help me with that? I have a very limited knowledge of ARD and found this file : http://www.mathworks.com/matlabcentral/fileexchange/2654-netlab/content/demard.m However I am not sure how to use that for my case.
Thank you Shadan

Best Answer

I am not familiar with ARD. I just use the significant lags in the input/target cross-correlation function and the target autocorrelation function.
It would be more accurate to use partial correlations with a stepwise approach that takes into consideration lags that were used in the previous step (Similar to stepwise fitting of a linear model using the function STEPWISEFIT). However, I have not tried this.
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