Connectionist approach to time series prediction: an empirical test

Among the various potential applications of neural networks, forecasting is considered to be a major application. Several researchers have reported their experiences with the use of neural networks in forecasting, and the evidence is inconclusive. This paper presents the results of a forecasting competition between a neural network model and a Box-Jenkins automatic forecasting expert system. Seventy-five series, a subset of data series which have been used for comparison of various forecasting techniques, were analysed using the Box-Jenkins approach and a neural network implementation. The results show that the simple neural net model tested on this set of time series could forecast about as well as the Box-Jenkins forecasting system.