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 of Experimental & Theoretical Artificial Intelligence,
Volume
15,
Issue
3
July
2003
, pages 315
- 330
Subjects:
Cognitive Artificial Intelligence.;
Cognitive Psychology;
Cognitive Science;
Evolutionary Computing;
Human Computer Intelligence;
Machine Learning - Design;
Neural Networks;
Robotics;
Systems & Controls;
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.
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| Keywords: Arima; Neural Networks; Time-series Analysis |

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