I. Introduction
The short-term prediction of traffic flow parameters including flows, speeds, densities and travel time compose an important major part in development and application of Intelligent Transportation Systems (ITS), forming the foundation of Advanced Traffic Management Systems (ATMS) and providing essential supports for travel guidance and route planning of travelers. A time series of traffic flows or travel time generally has similarity among its inner sub-series corresponding to the same weekdays (e.g., Monday in last week to Monday in next week), weekends and same quarters. Despite the periodicity and seasonality, however, these time series are always being affected by various external factors including traffic crashes, fluctuation in traffic demand and abrupt changes of weather conditions, which results in nonstationary properties and brings difficulties to the prediction.