491 research outputs found
Forecasting seasonal time series with computational intelligence: on recent methods and the potential of their combinations
Accurate time series forecasting is a key issue to support individual and or- ganizational decision making. In this paper, we introduce novel methods for multi-step seasonal time series forecasting. All the presented methods stem from computational intelligence techniques: evolutionary artificial neu- ral networks, support vector machines and genuine linguistic fuzzy rules. Performance of the suggested methods is experimentally justified on sea- sonal time series from distinct domains on three forecasting horizons. The most important contribution is the introduction of a new hybrid combination using linguistic fuzzy rules and the other computational intelligence methods. This hybrid combination presents competitive forecasts, when compared with the popular ARIMA method. Moreover, such hybrid model is more easy to interpret by decision-makers when modeling trended series.The research was supported by the European Regional Development Fund in the IT4Innovations Centre of Excellence project (CZ.1.05/1.1.00/02.0070). Furthermore, we gratefully acknowledge partial support of the project KON- TAKT II - LH12229 of MSˇMT CˇR
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
ATM Cash demand forecasting in an Indian Bank with chaos and deep learning
This paper proposes to model chaos in the ATM cash withdrawal time series of
a big Indian bank and forecast the withdrawals using deep learning methods. It
also considers the importance of day-of-the-week and includes it as a dummy
exogenous variable. We first modelled the chaos present in the withdrawal time
series by reconstructing the state space of each series using the lag, and
embedding dimension found using an auto-correlation function and Cao's method.
This process converts the uni-variate time series into multi variate time
series. The "day-of-the-week" is converted into seven features with the help of
one-hot encoding. Then these seven features are augmented to the multivariate
time series. For forecasting the future cash withdrawals, using algorithms
namely ARIMA, random forest (RF), support vector regressor (SVR), multi-layer
perceptron (MLP), group method of data handling (GMDH), general regression
neural network (GRNN), long short term memory neural network and 1-dimensional
convolutional neural network. We considered a daily cash withdrawals data set
from an Indian commercial bank. After modelling chaos and adding exogenous
features to the data set, we observed improvements in the forecasting for all
models. Even though the random forest (RF) yielded better Symmetric Mean
Absolute Percentage Error (SMAPE) value, deep learning algorithms, namely LSTM
and 1D CNN, showed similar performance compared to RF, based on t-test.Comment: 20 pages; 6 figures and 3 table
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
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