کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
385229 660863 2012 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A new class of hybrid models for time series forecasting
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر هوش مصنوعی
پیش نمایش صفحه اول مقاله
A new class of hybrid models for time series forecasting
چکیده انگلیسی

Applying quantitative models for forecasting and assisting investment decision making has become more indispensable in business practices than ever before. Improving forecasting especially time series forecasting accuracy is an important yet often difficult task facing forecasters. Both theoretical and empirical findings have indicated that integration of different models can be an effective way of improving upon their predictive performance, especially when the models in the ensemble are quite different. In the literature, several hybrid techniques have been proposed by combining different time series models together, in order to overcome the deficiencies of single models and yield hybrid models that are more accurate. In this paper, in contrast of the traditional hybrid models, a new methodology is proposed in order to construct a new class of hybrid models using a time series model as basis model and a classifier. As classifiers cannot be lonely applied as forecasting model for continuous problems, in the first stage of the proposed model, a forecasting model is used as basis model. Then, the estimated values of the basis model are modified in the second stage, based on the distinguished trend of the residuals of the basis model and the optimum step length, which are respectively calculated by a classifier model and a mathematical programming model. Empirical results with three well-known real data sets indicate that the proposed model can be an effective way in order to construct a more accurate hybrid model than its basis time series model. Therefore, it can be used as an appropriate alternative model for forecasting tasks, especially when higher forecasting accuracy is needed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Expert Systems with Applications - Volume 39, Issue 4, March 2012, Pages 4344–4357
نویسندگان
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