Article

# Forecasting nonlinear time series with a hybrid methodology

Applied Mathematics Letters (Impact Factor: 1.5). 01/2009; 22:1467-1470. DOI: 10.1016/j.aml.2009.02.006

Source: DBLP

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**ABSTRACT:**Muchas series de tiempo con tendencia y ciclos estacionales son exitosamente modeladas y pronosticadas usando el modelo airline de Box y Jenkins; sin embargo, la presencia de no linealidades en los datos son despreciadas por este modelo. En este artículo, se propone una nueva versión no lineal del modelo airline; para esto, se reemplaza la componente lineal de promedios móviles por un perceptrón multicapa. El modelo propuesto es usado para pronosticar dos series de tiempo benchmark; se encontró que el modelo propuesto es capaz de pronosticar las series de tiempo con mayor precisión que otras aproximaciones tradicionales. Many time series with trend and seasonal pattern are successfully modeled and forecasted by the airline model of Box and Jenkins; however, this model neglects the presence of nonlinearity on data. In this paper, we propose a new nonlinear version of the airline model; for this, we replace the moving average linear component by a multilayer perceptron neural network. The proposed model is used for forecasting two benchmark time series; we found that the proposed model is able to forecast the time series with more accuracy that other traditional approaches.Ingeniería y Ciencia. 06/2012; 8(15):171-189. - [Show abstract] [Hide abstract]

**ABSTRACT:**Multilayer perceptron has been widely used in time series forecasting for last two decades. However, it is a well-known fact that the forecasting performance of multilayer perceptron is negatively affected when data have outliers and this is an important problem. In recent years, some alternative neuron models such as generalizedmean neuron, geometric mean neuron, and single multiplicative neuron have been also proposed in the literature. However, it is expected that forecasting performance of artificial neural network approaches based on these neuron models can be also negatively affected by outliers since the aggregation function employed in these models is based on mean value. In this study, a new multilayer feed forward neural network, which is called median neuron model multilayer feed forward (MNM-MFF) model, is proposed in order to deal with this problem caused by outliers and to reach high accuracy level. In the proposed model, unlike other models suggested in the literature, MNM which has median-based aggregation function is employed. MNM is also firstly defined in this study. MNM-MFF is a robust neural network method since aggregation functions in MNM-MFF are based on median, which is not affected much by outliers. In addition, to train MNM-MFF model, particle swarm optimization method was utilized. MNMMFF was applied to two well-known time series in order to evaluate the performance of the proposed approach. As a result of the implementation, it was observed that the proposed MNM-MFF model has high forecasting accuracy and it is not affected by outlier as much as multilayer perceptron model. Proposed method brings improvement in 7 % for data without outlier, in 90 % for data with outlier, in 95 % for data with bigger outlier.Neural Computing and Application. 01/2013; - [Show abstract] [Hide abstract]

**ABSTRACT:**Multilayer perceptron has been widely used in time series forecasting for last two decades. However, it is a well-known fact that the forecasting performance of multilayer perceptron is negatively affected when data have outliers and this is an important problem. In recent years, some alternative neuron models such as generalized-mean neuron, geometric mean neuron, and single multiplicative neuron have been also proposed in the literature. However, it is expected that forecasting performance of artificial neural network approaches based on these neuron models can be also negatively affected by outliers since the aggregation function employed in these models is based on mean value. In this study, a new multilayer feed forward neural network, which is called median neuron model multilayer feed forward (MNM-MFF) model, is proposed in order to deal with this problem caused by outliers and to reach high accuracy level. In the proposed model, unlike other models suggested in the literature, MNM which has median-based aggregation function is employed. MNM is also firstly defined in this study. MNM-MFF is a robust neural network method since aggregation functions in MNM-MFF are based on median, which is not affected much by outliers. In addition, to train MNM-MFF model, particle swarm optimization method was utilized. MNM-MFF was applied to two well-known time series in order to evaluate the performance of the proposed approach. As a result of the implementation, it was observed that the proposed MNM-MFF model has high forecasting accuracy and it is not affected by outlier as much as multilayer perceptron model. Proposed method brings improvement in 7 % for data without outlier, in 90 % for data with outlier, in 95 % for data with bigger outlier.Neural Computing and Applications 03/2014; · 1.76 Impact Factor

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