Abstract-In this paper, we develop a regression tree approach to identification and prediction of signals that evolve according to an unknown nonlinear state space model. In this approach, a tree is recursively constructed that partitions the p-dimensional state space into a collection of piecewise homogeneous regions utilizing a 2 p -ary splitting rule with an entropy-based node impurity criterion. On this partition, the joint density of the state is approximately piecewise constant, leading to a nonlinear predictor that nearly attains minimum mean square error. This process decomposition is closely related to a generalized version of the thresholded AR signal model (ART), which we call piecewise constant AR (PCAR). We illustrate the method for two cases where classical linear prediction is ineffective: a chaotic "doublescroll" signal measured at the output of a Chua-type electronic circuit and a second-order ART model. We show that the prediction errors are comparable with the nearest neighbor approach to nonlinear prediction but with greatly reduced complexity.Index Terms-Chaotic signal analysis, nonlinear and nonparametric modeling and prediction, piecewise constant AR models, recursive partitioning, regression trees.

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