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Time-series analysis with neural networks and ARIMA-neural network hybrids 

Authors: James V. Hansen a; Ray D. Nelson a
Affiliation:   a Marriott School Brigham Young University Provo UT USA james_hansen@byu.edu.
DOI: 10.1080/0952813031000116488
Publication Frequency: 4 issues per year
Published in: journal Journal of Experimental & Theoretical Artificial Intelligence, Volume 15, Issue 3 July 2003 , pages 315 - 330
Formats available: PDF (English)
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Abstract

Time-series analysis is important to a wide range of disciplines transcending both the physical and social sciences. Statistical models have sound theoretical bases and have been successfully used in a number of problem domains. More recently, machine-learning models such as neural networks have been suggested as offering potential for time-series analysis. Results of neural network empirical testing have thus far been mixed. This paper proposes melding useful parameters from the statistical ARIMA model with neural networks of two types: multilevel perceptrons (MLPs) and radial basis functions (RBFs). Tests are run on a range of time-series problems that exhibit many common patterns encountered by analysts. The results suggest that hybrids of the type proposed may yield better outcomes than either model by itself.
Keywords: Arima; Neural Networks; Time-series Analysis
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