TaSe model for long term Time Series forecasting

There exists a wide range of paradigms and a high number of different methodologies applied to the problem of Time Series Prediction. Most of them are presented as a modified function approximation problem using I/O data, in which the input data is expanded using outputs at previous steps. Thus the model obtained normally predicts the value of the series at a time (t + h) using previous time steps (t - tau(1)), (t- tau(2)),..., (t-tau(n)). Nevertheless, learning a model for long term time series prediction might be seen as a completely different task, since it will generally use its own outputs as inputs for further training, as in recurrent networks. In this paper we present the utility of the TaSe model using the well-known Mackey Glass time series and an approach that upgrades the performance of the TaSe one-step-ahead prediction model for long term prediction.