Forecast Combination by Using Artificial Neural Networks

One of the efficient ways for obtaining accurate forecasts is usage of forecast combination method. This approach consists of combining different forecast values obtained from different forecasting models. Also artificial neural networks and fuzzy time series approaches have proved their success in the field of forecasting. In this study, a new forecast combination approach based on artificial neural networks is proposed. The forecasts obtain from different fuzzy time series models are combined by utilizing artificial neural networks. The proposed method is applied to index of Istanbul stock exchange (IMKB) time series and the results are compared to other forecast combination methods available in the literature. As a result of the implementation, it is seen that the proposed forecast combination approach produces better forecasts than those produced by other methods.     

CMBCF: A Cloud Model Based Hybrid Method for Combining Forecast

Forecast combination has been proved to be an effective way to improve the forecasting accuracy. Most of the combining forecast methods now available belong to performance based weighting strategies, which judge the individual models mainly on the basis of their in-sample forecasting accuracy. Less attention has been paid to consider the characteristics underlying the distribution or the shape of forecasts from individual forecasters. However, information hidden in the distributions is of great value because the difference of shapes indicating distinct response towards the same pattern of a certain time series. In this paper, a cloud model based hybrid method for combining forecast(CMBCF) is proposed. In general, the new framework attempts to extract the local distribution characteristics of forecasting series by transforming the series into several cloud models. After the similarity comparison of the series represented in the form of cloud models, CMBCF assigns dynamic weights to individual models and construct the final combining forecast. The experimental results based on widely used time series data sets demonstrate the advantage of CMBCF over several traditional and state-of-art combining forecast strategies.     

Performance evaluation of weights selection schemes for linear combination of multiple forecasts

Time series modeling and forecasting are essential in many domains of science and engineering. Extensive works in literature suggest that combining outputs of different forecasting methods substantially increases the overall accuracies as well as reduces the risk of model selection. The most popular method of forecasts combination is the weighted averaging of the constituent forecasts. The effectiveness of this method solely depends on appropriate selection of the combining weights. In this paper, we comprehensively evaluate a wide variety of benchmark weights selection techniques for linear combination of multiple forecasts in terms of their prediction accuracies. Nine real-world time series from different domains and five individual forecasting methods are used in our empirical work. A robust scheme is also suggested for fairly ranking the combination methods on the basis of their forecasting performances. Our study precisely demonstrates the relative strengths and weaknesses of various benchmark linear combination techniques which evidently can be of much practical importance.     

A linear hybrid methodology for improving accuracy of time series forecasting

Modeling and forecasting of time series data are integral parts of many scientific and engineering applications. Increasing precision of the performed forecasts is highly desirable but a difficult task, facing a number of mathematical as well as decision-making challenges. This paper presents a novel approach for linearly combining multiple models in order to improve time series forecasting accuracy. Our approach is based on the assumption that each future observation of a time series is a linear combination of the arithmetic mean and median of the forecasts from all participated models together with a random noise. The proposed ensemble is constructed with five different forecasting models and is tested on six real-world time series. Obtained results demonstrate that the forecasting accuracies are significantly improved through our combination mechanism. A nonparametric statistical analysis is also carried out to show the superior forecasting performances of the proposed ensemble scheme over the individual models as well as a number of other forecast combination techniques.     

Nonparametric time series forecasting with dynamic updating

We present a nonparametric method to forecast a seasonal univariate time series, and propose four dynamic updating methods to improve point forecast accuracy. Our methods consider a seasonal univariate time series as a functional time series. We propose first to reduce the dimensionality by applying functional principal component analysis to the historical observations, and then to use univariate time series forecasting and functional principal component regression techniques. When data in the most recent year are partially observed, we improve point forecast accuracy by using dynamic updating methods. We also introduce a nonparametric approach to construct prediction intervals of updated forecasts, and compare the empirical coverage probability with an existing parametric method. Our approaches are data-driven and computationally fast, and hence they are feasible to be applied in real time high frequency dynamic updating. The methods are demonstrated using monthly sea surface temperatures from 1950 to 2008.     

周相似特性下交通流组合预测方法研究

根据交通流量具有周相似的特性,构造了周相似序列。用霍特指数平滑法对周相似序列进行预测,用人工神经网络对残差部分进行预测。将指数平滑法与神经网络法相结合,以便发挥每种方法的优势,获得比单个方法更好的预测结果。实例分析表明,比单独使用ARIMA或单独使用神经网络方法,使用组合方法的预测误差最小,适合于实时的交通流预测。     

基于模糊推理系统的非线性组合建模与预测方法研究

基于模糊推理系统在紧支集中能够逼近任意非线性连续函数的特性,提出了一种基于Takagi-sugeno模糊规则基的非线性组合建模与预测新方法,以克服线性组合预测方法在解决非平衡时间序列组合建模问题所遇到的困难和存在的不足,并给出了相应的基于学习自动机层次结构的优化算法确定模糊系统的参数和模糊子集的划分,理论分析和大量的经济预测实例表明：该方法具有很强的学习与泛化能力,在处理诸如经济时间序列这种具有一定程度不确定性的非线性系统组合建模与预测方法有很好的应用。     

Time-delay neural networks for time series prediction: an application to the monthly wholesale price of oilseeds in India

Agricultural price forecasting is one of the challenging areas of time series forecasting. The feed-forward time-delay neural network (TDNN) is one of the promising and potential methods for time series prediction. However, empirical evaluations of TDNN with autoregressive integrated moving average (ARIMA) model often yield mixed results in terms of the superiority in forecasting performance. In this paper, the price forecasting capabilities of TDNN model, which can model nonlinear relationship, are compared with ARIMA model using monthly wholesale price series of oilseed crops traded in different markets in India. Most earlier studies of forecast accuracy for TDNN versus ARIMA do not consider pretesting for nonlinearity. This study shows that the nonlinearity test of price series provides reliable guide to post-sample forecast accuracy for neural network model. The TDNN model in general provides better forecast accuracy in terms of conventional root mean square error values as compared to ARIMA model for nonlinear patterns. The study also reveals that the neural network models have clear advantage over linear models for predicting the direction of monthly price change for different series. Such direction of change forecasts is particularly important in economics for capturing the business cycle movements relating to the turning points.     

Forecasting model selection through out-of-sample rolling horizon weighted errors

Demand forecasting is an essential process for any firm whether it is a supplier, manufacturer or retailer. A large number of research works about time series forecast techniques exists in the literature, and there are many time series forecasting tools. In many cases, however, selecting the best time series forecasting model for each time series to be dealt with is still a complex problem. In this paper, a new automatic selection procedure of time series forecasting models is proposed. The selection criterion has been tested using the set of monthly time series of the M3 Competition and two basic forecasting models obtaining interesting results. This selection criterion has been implemented in a forecasting expert system and applied to a real case, a firm that produces steel products for construction, which automatically performs monthly forecasts on tens of thousands of time series. As result, the firm has increased the level of success in its demand forecasts.     

Multiresolution forecasting for futures trading using waveletdecompositions

We investigate the effectiveness of a financial time-series forecasting strategy which exploits the multiresolution property of the wavelet transform. A financial series is decomposed into an over complete, shift invariant scale-related representation. In transform space, each individual wavelet series is modeled by a separate multilayer perceptron (MLP). We apply the Bayesian method of automatic relevance determination to choose short past windows (short-term history) for the inputs to the MLPs at lower scales and long past windows (long-term history) at higher scales. To form the overall forecast, the individual forecasts are then recombined by the linear reconstruction property of the inverse transform with the chosen autocorrelation shell representation, or by another perceptron which learns the weight of each scale in the prediction of the original time series. The forecast results are then passed to a money management system to generate trades.     

基于EMD与LS-SVM的风电场短期风速预测

为了提高风电场风速短期预测的精度,提出了将经验模式分解与数据挖掘方法相结合对风速时间序列进行建模预测.对风速时间序列进行经验模式分解,使之分解为若干不同频带的本征模式分量.对不同频带的平稳分量建立相应的最小二乘支持向量机预测模型,将各模型的预测值等权求和得到最终预测值.仿真实验结果表明,风电场短期风速预测的MAPE为1.507%,提高了此类预测的精度,表明了该方法的有效性.     

A high order fuzzy time series forecasting model based on adaptive expectation and artificial neural networks

Many fuzzy time series approaches have been proposed in recent years. These methods include three main phases such as fuzzification, defining fuzzy relationships and, defuzzification. Aladag et al. [2] improved the forecasting accuracy by utilizing feed forward neural networks to determine fuzzy relationships in high order fuzzy time series. Another study for increasing forecasting accuracy was made by Cheng et al. [6]. In their study, they employ adaptive expectation model to adopt forecasts obtained from first order fuzzy time series forecasting model. In this study, we propose a novel high order fuzzy time series method in order to obtain more accurate forecasts. In the proposed method, fuzzy relationships are defined by feed forward neural networks and adaptive expectation model is used for adjusting forecasted values. Unlike the papers of Cheng et al. [6] and Liu et al. [14], forecast adjusting is done by using constraint optimization for weighted parameter. The proposed method is applied to the enrollments of the University of Alabama and the obtained forecasting results compared to those obtained from other approaches are available in the literature. As a result of comparison, it is clearly seen that the proposed method significantly increases the forecasting accuracy.     

A New Multiplicative Seasonal Neural Network Model Based on Particle Swarm Optimization

In recent years, artificial neural networks (ANNs) have been commonly used for time series forecasting by researchers from various fields. There are some types of ANNs and feed forward neural networks model is one of them. This type has been used to forecast various types of time series in many implementations. In this study, a novel multiplicative seasonal ANN model is proposed to improve forecasting accuracy when time series with both trend and seasonal patterns is forecasted. This neural networks model suggested in this study is the first model proposed in the literature to model time series which contain both trend and seasonal variations. In the proposed approach, the defined neural network model is trained by particle swarm optimization. In the training process, local minimum traps are avoided by using this population based heuristic optimization method. The performance of the proposed approach is examined by using two real seasonal time series. The forecasts obtained from the proposed method are compared to those obtained from other forecasting techniques available in the literature. It is seen that the proposed forecasting model provides high forecasting accuracy.     

Optimal combination forecasts for hierarchical time series

In many applications, there are multiple time series that are hierarchically organized and can be aggregated at several different levels in groups based on products, geography or some other features. We call these “hierarchical time series”. They are commonly forecast using either a “bottom-up” or a “top-down” method.In this paper we propose a new approach to hierarchical forecasting which provides optimal forecasts that are better than forecasts produced by either a top-down or a bottom-up approach. Our method is based on independently forecasting all series at all levels of the hierarchy and then using a regression model to optimally combine and reconcile these forecasts. The resulting revised forecasts add up appropriately across the hierarchy, are unbiased and have minimum variance amongst all combination forecasts under some simple assumptions.We show in a simulation study that our method performs well compared to the top-down approach and the bottom-up method. We demonstrate our proposed method by forecasting Australian tourism demand where the data are disaggregated by purpose of travel and geographical region.     

基于CEEMDAN-FE-KELM方法的短期风电功率预测

针对短期风电功率预测,提出一种基于自适应噪声完整集成经验模态分解（complete ensemble empirical mode decomposition with adaptive noise,CEEMDAN）-模糊熵（FE）的核极限学习机（extreme learning machine with kernels,KELM）组合预测方法．CEEMDAN方法在信号分解的每一阶段都添加特定的白噪声,通过计算唯一的余量信号以获取各个模态分量,与EEMD（ensemble empirical mode decomposition）方法相比,其分解过程是完整的．为降低信号非平稳性对预测精度的影响及减少计算规模,采用CEEMDAN-模糊熵（FE）方法将信号分解为具有不同复杂度差异的子序列,然后分别构建相应的KELM预测模型,最后对预测结果进行合成．将CEEMDAN-FE-KELM方法应用于某地区的短期风电功率预测,在同等条件下,与单一的KELM方法及KELM的组合预测方法进行实验对比,结果证明该方法更有效．     

一种基于数据融合和方法融合的时空综合预测算法

时空数据挖掘是数据挖掘中的重要研究内容,其中时空预测的应用领域最为广泛．针对目前时空预测方法中的不足,提出了一种基于数据融合和方法融合的时空综合预测算法．该方法首先采用统计学原理对目标对象本身的时序进行预测;然后通过神经网络解算相邻对象的空间影响,继而对混合数据序列使用时空自回归预测模型;最后使用线性回归将单个的时间预测、空间预测和时空预测有效地融合在一起,得到综合预测结果．应用该方法预测铁路客流,突破了传统铁路客流预测方法的局限,实验结果表明了算法的有效性．     

A collaborative demand forecasting process with event-based fuzzy judgements

Mathematical forecasting approaches can lead to reliable demand forecast in some environments by extrapolating regular patterns in time-series. However, unpredictable events that do not appear in historical data can reduce the usefulness of mathematical forecasts for demand planning purposes. Since forecasters have partial knowledge of the context and of future events, grouping and structuring the fragmented implicit knowledge, in order to be easily and fully integrated in final demand forecasts is the objective of this work. This paper presents a judgemental collaborative approach for demand forecasting in which the mathematical forecasts, considered as the basis, are adjusted by the structured and combined knowledge from different forecasters. The approach is based on the identification and classification of four types of particular events. Factors corresponding to these events are evaluated through a fuzzy inference system to ensure the coherence of the results. To validate the approach, two case studies were developed with forecasters from a plastic bag manufacturer and a distributor belonging to the food retailing industry. The results show that by structuring and combining the judgements of different forecasters to identify and assess future events, companies can experience a high improvement in demand forecast accuracy.     

基于小波的非平稳时间序列预测方法研究

基于小波分析技术,将原始非平稳时间序列分解为一层近似系数和多层细节系数,对其分别采用自回归滑动平均模型以及BP神经网络模型,对各层系数进行建模与预测;通过整合各层系数,得到原始时间序列的预测值。运用这种方法对因特网某节点网络流量数据和某地区日最高气温数据进行预测的结果表明,建立在小波分解基础上的这两种方法都能够有效地应用于非平稳时间序列的预测;而小波-BP神经网络的预测方法无论是精度还是计算复杂度方面都要明显优于小波-ARMA方法。     

The univariate moving window spectral method

A major difficulty encountered in time series analysis is the bias in model parameter estimates, resulting in multiple-period lead time forecast error divergence. An approach, which mitigates the effect of this bias, is described. The spectral approach offers the potential for better estimation of cyclical components in time series. When recombined by the moving window spectral (MWS) paradigm, better long range forecasts are possible. Illustration is by comparisons to 24 other models, applied to complex non-linear multiple component time series, and 111 empirical time series. The MWS method requires the least user expertise, it explains, and it forecasts the time series the best. It is applicable to a broad range of time series associated with the physical, economic, and social sciences.     

基于证据理论的模糊时间序列预测模型

在分析经典模糊时间序列预测模型的基础上,指出了传统的模型不能处理多因素的情形;然后分析并改进了证据理论中关于证据合成的方法,提出了基于证据理论的多因素模糊时间序列预测模型;最后用1997年～2006年10年间的上海股指数据对所提出的模型进行了实践检验,实验结果表明该模型是可行的,其预测效果优于所参照的预测模型.