The extended kernel recursive least squares (EX-KRLS) is a model proposed by Liu et al. [1].
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EX-KRLS is the EX-KRLS model.
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GridSearch_AllDatasets is the file to perform a grid search for all datasets and store the best hyper-parameters.
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Runtime_AllDatasets perform 30 simulations for each dataset and compute the mean runtime and the standard deviation.
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MackeyGlass is the script to prepare the Mackey-Glass time series, perform simulations, compute the results and plot the graphics.
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Nonlinear is the script to prepare the nonlinear dynamic system identification time series, perform simulations, compute the results and plot the graphics.
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LorenzAttractor is the script to prepare the Lorenz Attractor time series, perform simulations, compute the results and plot the graphics.
[1] W. Liu, I. Park, Y. Wang, J. C. Principe, Extended kernel recursive least squares algorithm, IEEE Transactions on Signal Processing 57 (10) (2009) 3801–3814. doi:https://doi.org/10.1109/TSP.2009.2022007.