Santa Fe Time Series Competition

[Terry Sejnowski]

             A Time Series Prediction and Analysis Competition

                         The Santa Fe Institute
                     
                    August 1, 1991 - December 31, 1991

A wide range of new techniques are now being applied to the time series
analysis problems of predicting the future behavior of a system and deducing
properties of the system that produced the time series. Such problems arise in
most observational disciplines, including physics, biology, and economics; new
tools, such as the use of connectionist models for forecasting, or the
extraction of parameters of nonlinear systems with time-delay embedding,
promise to provide results that are unobtainable with more traditional time
series techniques. Unfortunately, the realization and evaluation of this
promise has been hampered by the difficulty of making rigorous comparisons
between competing techniques, particularly ones that come from different
disciplines.

In order to facilitate such comparisons and to foster contact among the
relevant disciplines, the Santa Fe Institute is organizing a time series
analysis and prediction competition. A few carefully chosen experimental time
series will be made available through a computer at the Santa Fe Institute,
and quantitative analyses of these data will be collected in the areas of
forecasting, characterization (evaluating dynamical measures of the system
such as the number of degrees of freedom and the information production rate),
and system identification (inferring a model of the system's governing
equations). At the close of the competition the performance of the techniques
submitted will be compared and published, and the server will continue to
operate as an archive of data, programs, and comparisons among algorithms.
There will be no monetary prizes. A workshop is planned for the Spring of 1992
to explore the results of the competition.

The competition does not require advance registration; to enter, simply
retrieve the data and submit your analysis. The detailed description of the
competition categories and instructions for retrieving the data and entering
the competition will be available after August 1 through four routes:

                             ACCESSING THE DATA
                             --------- --- ----

        ftp: Ftp to sfi.santafe.edu (192.12.12.1) as user "tsguest" and use
             "tsguest" for the password. Get the file "instructions".    
    dial-up: There are two dial-up lines: 505-988-1705 (2400 baud), and
             505-986-0252 (any speed to 9600 baud). The settings for both
             lines are no parity, 8 bit words, 1 stop bit. At the connect
             press return; at the <cmd> prompt type "login tsguest" and
             use "tsguest" for the password. At the next <cmd> prompt type
             "telnet sfi" and login as user "tsguest" (password "tsguest").
             Using either "kermit" or "xmodem", retrieve the file
             instructions". When you are finished, logout from sfi and from
             the <cmd> prompt.
mail server: Send email to tserver at sfi.santafe.edu with the phrase
             "send time series instructions" in either the subject or the body
             of the message. The mailer will return a file with more
             detailed instructions for requesting the data and submitting
             analyses.
   pc disks: The data is available on disks in either IBM-PC or Mac
             formats. To cover the cost of distributing the data, send $25 to
             Time Series Competition Disks, The Santa Fe Institute, 1120
             Canyon Road, Santa Fe, NM 87501, and specify the machine type,
             disk size, and disk density required. Instructions will be
             included with the disks on submitting a return disk with the
             analysis of the data.


                           FOR MORE INFORMATION
                           --- ---- -----------

Further questions about the competition, or inquiries about contributing
data to be used in the competition, should be directed to:

                          Time Series Competition
                            Santa Fe Institute
                       1660 Old Pecos Trail, Suite A
                            Santa Fe, NM 87501
                             (505) 984--8800
                         tserver at sfi.santafe.edu

or to one of the organizers:

        Neil Gershenfeld                Andreas Weigend
        Department of Physics           Xerox Palo Alto Research Center
        Harvard University              3333 Coyote Hill Road
        15 Oxford Street                Palo Alto, CA  94304
        Cambridge, MA  02138            (415) 322-4066
        (617) 495-5641                  andreas at sfi.santafe.edu
        neilg at sfi.santafe.edu           
    

                              ADVISORY BOARD
                              -------- -----

     Prof. Leon Glass              Department of Physiology
                                   McGill University

     Prof. Clive W. J. Granger     Center for Econometric Analysis
                                   Department of Economics
                                   University of California, San Diego

     Prof. William H. Press        Department of Physics and Center
                                   for Astrophysics
                                   Harvard University

     Prof. Maurice B. Priestley    Department of Mathematics
                                   The University of Manchester Institute of
                                   Science and Technology

     Prof. Itamar Procaccia        Department of Chemical Physics
                                   The Weizmann Institute of Science

     Prof. T. Subba Rao            Department of Mathematics
                                   The University of Manchester Institute of
                                   Science and Technology
 
     Prof. Harry L. Swinney        Department of Physics
                                   University of Texas at Austin