A new model selection strategy in time series forecasting with artificial neural networks: IHTS

•We propose a model selection method in time series forecasting for neural networks.•More simple neural network models are selected by the proposed method.•The final neural network model is selected by training and validation sets.•It shows robustness against the size of the validation data.•Neural networks can exert superiority over ARIMA model.

Although artificial neural networks have recently gained importance in time series applications, some methodological shortcomings still continue to exist. One of these shortcomings is the selection of the final neural network model to be used to evaluate its performance in test set among many neural networks. The general way to overcome this problem is to divide data sets into training, validation, and test sets and also to select a neural network model that provides the smallest error value in the validation set. However, it is likely that the selected neural network model would be overfitting the validation data. This paper proposes a new model selection strategy (IHTS) for forecasting with neural networks. The proposed selection strategy first determines the numbers of input and hidden units, and then, selects a neural network model from various trials caused by different initial weights by considering validation and training performances of each neural network model. It is observed that the proposed selection strategy improves the performance of the neural networks statistically as compared with the classic model selection method in the simulated and real data sets. Also, it exhibits some robustness against the size of the validation data.