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A comparison of exponential smoothing and neural networks in time series prediction

VELÁSQUEZ HENAO, JUAN DAVID and ZAMBRANO PEREZ, CRISTIAN OLMEDO and FRANCO CARDONA, CARLOS JAIME (2012) A comparison of exponential smoothing and neural networks in time series prediction. DYNA; Vol. 80, núm. 182 (2013); 66-73 Dyna; Vol. 80, núm. 182 (2013); 66-73 2346-2183 0012-7353 .

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URL oficial: http://revistas.unal.edu.co/index.php/dyna/article...

Resumen

In this article, we compare the accuracy of the forecasts for the exponential smoothing (ES) approach and the radial basis function neural networks (RBFNN) when three nonlinear time series with trend and seasonal cycle are forecasted. In addition, we consider the recommendations of preprocessing by eliminating the trend and seasonal cycle using simple and seasonal differentiation. Finally, we use forecast combining for determining if there is complementary information between the forecasts of the individual models. Our numerical evidence supports the following conclusions: ES models have a better fi t but lower predictive power than the RBFNN; detrending and deseasonality allows the RBFNN to fi t and forecast with more accuracy than the RBFNN trained with the original dataset; there is no evidence of information complementarity in the forecasts such that the methodology of forecasts combination is not able to predict with more accuracy than the RBFNN and ES methodologies.

Tipo de documento:Artículo - Article
Información adicional:Derechos de autor reservados
Palabras clave:Forecasts combination, nonlinear models, artifi cial neural networks, nonlinear time series
Unidad administrativa:Revistas electrónicas UN > Dyna
Código ID:38633
Enviado por : Dirección Nacional de Bibliotecas STECNICO
Enviado el día :03 Julio 2014 22:17
Ultima modificación:18 Agosto 2014 22:23
Ultima modificación:18 Agosto 2014 22:23
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