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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - A New Bootstrapped Hybrid Artificial Neural Network Approach for Time Series Forecasting
AU - Eğrioğlu, E.
AU - Fildes, R.
N1 - The final publication is available at Springer via http://dx.doi.org/10.1007/s10614-020-10073-7
PY - 2022/4/30
Y1 - 2022/4/30
N2 - In this study, a new bootstrapped hybrid artificial neural network is proposed for forecasting. This new neural network provides input significance, linearity and nonlinearity hypothesis tests in a unique network structure via a residual bootstrap approach. The network has three parts: linear, non-linear and a combination with associated weights and biases. These weights are used to test the input significance, linearity and nonlinearity hypotheses with this new method providing empirical distributions for forecasts and weights. The proposed method employs a bagging approach to obtain forecasts. It is then applied to real-time series including the M4 Competition data set and stock exchange time series where its performance is compared with appropriate benchmark methods including other popular neural networks. The proposed method results are less affected than other neural networks by initial random weights, which means that the results of the proposed method are more stable and precise. The new method provides improvements in forecasting accuracy over the established benchmarks.
AB - In this study, a new bootstrapped hybrid artificial neural network is proposed for forecasting. This new neural network provides input significance, linearity and nonlinearity hypothesis tests in a unique network structure via a residual bootstrap approach. The network has three parts: linear, non-linear and a combination with associated weights and biases. These weights are used to test the input significance, linearity and nonlinearity hypotheses with this new method providing empirical distributions for forecasts and weights. The proposed method employs a bagging approach to obtain forecasts. It is then applied to real-time series including the M4 Competition data set and stock exchange time series where its performance is compared with appropriate benchmark methods including other popular neural networks. The proposed method results are less affected than other neural networks by initial random weights, which means that the results of the proposed method are more stable and precise. The new method provides improvements in forecasting accuracy over the established benchmarks.
KW - Artificial neural networks
KW - Bootstrap
KW - Deep learning
KW - Forecasting
KW - Input significance
KW - Interval forecast
U2 - 10.1007/s10614-020-10073-7
DO - 10.1007/s10614-020-10073-7
M3 - Journal article
VL - 59
SP - 1355
EP - 1383
JO - Computational Economics
JF - Computational Economics
SN - 0927-7099
IS - 4
ER -