A method and apparatus for determining how many input values of a time series of data are required for forecasting a future value of the time series

A method of determining how many input values of a time series of data are required for forecasting a future value of the time series, said method comprising the steps of:- (i) forming a set of first vectors wherein each first vector is the same size and each first vector comprises a number of sequential values of the time series; (ii) forming a set of second vectors, wherein each second vector is the same size, and each second vector comprises a number of sequential values of the time series, and wherein the first and second vectors are different sizes; (iii) for each first vector selecting another of the first vectors as a first neighbour where a first measure of similarity between each first vector and its first neighbour is less than a threshold value; (iv) for each second vector selecting another of the second vectors as a second neighbour where a second measure of similarity between each first vector and its second neighbour is less than a threshold value, and wherein each second neighbour corresponds to a first neighbour; (v) determining the number of false neighbours by comparing each first neighbour with its corresponding second neighbour; (vi) determining the number of input values required according to a first vector size for which a threshold number of false neighbours are obtained.