  In this paper, a new method was developed for initialising artificial neural
networks predicting dynamics of time series. Initial weighting coefficients
were determined for neurons analogously to the case of a linear prediction
filter. Moreover, to improve the accuracy of the initialization method for a
multilayer neural network, some variants of decomposition of the transformation
matrix corresponding to the linear prediction filter were suggested. The
efficiency of the proposed neural network prediction method by forecasting
solutions of the Lorentz chaotic system is shown in this paper.
