Monthly sunspot number time series analysis and its modeling through autoregressive artificial neural network

This study reports a statistical analysis of monthly sunspot number time series and observes non homogeneity and asymmetry within it. Using Mann-Kendall test a linear trend is revealed. After identifying stationarity within the time series we generate autoregressive AR(p) and autoregressive moving average (ARMA(p,q)). Based on minimization of AIC we find 3 and 1 as the best values of p and q respectively. In the next phase, autoregressive neural network (AR-NN(3)) is generated by training a generalized feedforward neural network (GFNN). Assessing the model performances by means of Willmott's index of second order and coefficient of determination, the performance of AR-NN(3) is identified to be better than AR(3) and ARMA(3,1).Comment: 17 pages, 4 figure

Time Series Forecasting for Outdoor Temperature using Nonlinear Autoregressive Neural Network Models

Weather forecasting is a challenging time series forecasting problem because of its dynamic, continuous, data-intensive, chaotic and irregular behavior. At present, enormous time series forecasting techniques exist and are widely adapted. However, competitive research is still going on to improve the methods and techniques for accurate forecasting. This research article presents the time series forecasting of the metrological parameter, i.e., temperature with NARX (Nonlinear Autoregressive with eXogenous input) based ANN (Artificial Neural Network). In this research work, several time series dependent Recurrent NARX-ANN models are developed and trained with dynamic parameter settings to find the optimum network model according to its desired forecasting task. Network performance is analyzed on the basis of its Mean Square Error (MSE) value over training, validation and test data sets. In order to perform the forecasting for next 4,8 and 12 steps horizon, the model with less MSE is chosen to be the most accurate temperature forecaster. Unlike one step ahead prediction, multi-step ahead forecasting is more difficult and challenging problem to solve due to its underlying additional complexity. Thus, the empirical findings in this work provide valuable suggestions for the parameter settings of NARX model specifically the selection of hidden layer size and autoregressive lag terms in accordance with an appropriate multi-step ahead time series forecasting

Forecasting Saving Deposit in Malaysian Islamic Banking: Comparison Between Artificial Neural Network and Arima

The aim of this paper is to test the ability of artificial neural network (ANN) as an alternative method in time series forecasting and compared to autoregres­sive integrated moving average (ARIMA) in studying saving deposit in Malay­sian Islamic banks. Artificial neural network is getting popular as an alterna­tive method in time series forecasting for its capability to capture vola­tility pattern of non-linear time series data. In addition, the use of an estab­lished tool of analysis such as ARIMA is of importance here for comparative purposes. These two methods are applied to monthly data of the Malaysian Islamic bank­ing deposits from January 1994 to November 2005. The result provides evidence that ANN using “early stopping” approach can be used as an alterna­tive forecasting engine with univariate time series model. It can predict non-lin­ear time series using the pattern of the data directly without any statisti­cal analysis

FORECASTING SAVING DEPOSIT IN MALAYSIAN ISLAMIC BANKING: COMPARISON BETWEEN ARTIFICIAL NEURAL NETWORK AND ARIMA

The aim of this paper is to test the ability of artificial neural network (ANN) as an alternative method in time series forecasting and compared to autoregres­sive integrated moving average (ARIMA) in studying saving deposit in Malay­sian Islamic banks. Artificial neural network is getting popular as an alterna­tive method in time series forecasting for its capability to capture vola­tility pattern of non-linear time series data. In addition, the use of an estab­lished tool of analysis such as ARIMA is of importance here for comparative purposes. These two methods are applied to monthly data of the Malaysian Islamic bank­ing deposits from January 1994 to November 2005. The result provides evidence that ANN using “early stopping” approach can be used as an alterna­tive forecasting engine with univariate time series model. It can predict non-lin­ear time series using the pattern of the data directly without any statisti­cal analysis

A New Hybrid Methodology for Nonlinear Time Series Forecasting

Artificial neural networks (ANNs) are flexible computing frameworks and universal approximators that can be applied to a wide range of forecasting problems with a high degree of accuracy. However, using ANNs to model linear problems have yielded mixed results, and hence; it is not wise to apply them blindly to any type of data. This is the reason that hybrid methodologies combining linear models such as ARIMA and nonlinear models such as ANNs have been proposed in the literature of time series forecasting. Despite of all advantages of the traditional methodologies for combining ARIMA and ANNs, they have some assumptions that will degenerate their performance if the opposite situation occurs. In this paper, a new methodology is proposed in order to combine the ANNs with ARIMA in order to overcome the limitations of traditional hybrid methodologies and yield more general and more accurate hybrid models. Empirical results with Canadian Lynx data set indicate that the proposed methodology can be a more effective way in order to combine linear and nonlinear models together than traditional hybrid methodologies. Therefore, it can be applied as an appropriate alternative methodology for hybridization in time series forecasting field, especially when higher forecasting accuracy is needed

Wind turbine power output short-term forecast : a comparative study of data clustering techniques in a PSO-ANFIS model

Abstract:The emergence of new sites for wind energy exploration in South Africa requires an accurate prediction of the potential power output of a typical utility-scale wind turbine in such areas. However, careful selection of data clustering technique is very essential as it has a significant impact on the accuracy of the prediction. Adaptive neurofuzzy inference system (ANFIS), both in its standalone and hybrid form has been applied in offline and online forecast in wind energy studies, however, the effect of clustering techniques has not been reported despite its significance. Therefore, this study investigates the effect of the choice of clustering algorithm on the performance of a standalone ANFIS and ANFIS optimized with particle swarm optimization (PSO) technique using a synthetic wind turbine power output data of a potential site in the Eastern Cape, South Africa. In this study a wind resource map for the Eastern Cape province was developed. Also, autoregressive ANFIS models and their hybrids with PSO were developed. Each model was evaluated based on three clustering techniques (grid partitioning (GP), subtractive clustering (SC), and fuzzy-c-means (FCM)). The gross wind power of the model wind turbine was estimated from the wind speed data collected from the potential site at 10 min data resolution using Windographer software. The standalone and hybrid models were trained and tested with 70% and 30% of the dataset respectively. The performance of each clustering technique was compared for both standalone and PSO-ANFIS models using known statistical metrics. From our findings, ANFIS standalone model clustered with SC performed best among the standalone models with a root mean square error (RMSE) of 0.132, mean absolute percentage error (MAPE) of 30.94, a mean absolute deviation (MAD) of 0.077, relative mean bias error (rMBE) of 0.190 and variance accounted for (VAF) of 94.307. Also, PSO-ANFIS model clustered with SC technique performed the best among the three hybrid models with RMSE of 0.127, MAPE of 28.11, MAD of 0.078, rMBE of 0.190 and VAF of 94.311. The ANFIS-SC model recorded the lowest computational time of 30.23secs among the standalone models. However, the PSO-ANFIS-SC model recorded a computational time of 47.21secs. Based on our findings, a hybrid ANFIS model gives better forecast accuracy compared to the standalone model, though with a trade-off in the computational time. Since, the choice of clustering technique was observed to play a vital role in the forecast accuracy of standalone and hybrid models, this study recommends SC technique for ANFIS modeling at both standalone and hybrid models

A Hybrid Model of Machine Learning Model and Econometrics’ Model to Predict Volatility of KSE-100 Index

Purpose: The purpose of this paper is to predict the volatility of the KSE-100 index using econometric and machine learning models. It also designs hybrid models for volatility forecasting by combining these two models in three different ways. Methodology: Estimations and forecasting are based on an econometric model GARCH (Generalized Auto Regressive Conditional Heteroscedasticity) and a machine learning model NNAR (Neural Network Auto-Regressive model). The hybrid models designed with GARCH and NNAR include GARCH-based NNAR, NNAR-based GARCH, and the linear combination of GARCH and NNAR. Findings: In a comparison of the forecasting results of the KSE-100 index over different periods, the least RMSE is found in a linear combination of NNAR and GARCH, followed by NNAR, GARCH, NNAR based GARCH, and GARCH based NNAR models. Conclusion: The study concludes that the hybrid model designed with a linear combination of GARCH and NNAR performs better among all the models in forecasting the volatility of the KSE-100 index