Home > Research > Publications & Outputs > Forecasting nonlinear time series with a hybrid...

Links

Text available via DOI:

View graph of relations

Forecasting nonlinear time series with a hybrid methodology

Research output: Contribution to journalJournal articlepeer-review

Published
Close
<mark>Journal publication date</mark>1/09/2009
<mark>Journal</mark>Applied Mathematics Letters
Issue number9
Volume22
Number of pages4
Pages (from-to)1467-1470
Publication StatusPublished
<mark>Original language</mark>English

Abstract

In recent years, artificial neural networks (ANNs) have been used for forecasting in time series in the literature. Although it is possible to model both linear and nonlinear structures in time series by using ANNs, they are not able to handle both structures equally well. Therefore, the hybrid methodology combining ARIMA and ANN models have been used in the literature. In this study, a new hybrid approach combining Elman's Recurrent Neural Networks (ERNN) and ARIMA models is proposed. The proposed hybrid approach is applied to Canadian Lynx data and it is found that the proposed approach has the best forecasting accuracy.