Design of An Integrated Neural Network System for ARMA Model Identification

ARMA 모형선정을 위한 통합된 신경망 시스템의 설계

In this paper, our concern is the artificial neural network-based patten classification, when can resolve the difficulties in the Autoregressive Moving Average(ARMA) model identification problem To effectively classify a time series into an approriate ARMA model, we adopt the Multi-layered Backpropagation Network (MLBPN) as a pattern classifier, and Extended Sample Autocorrelation Function (ESACF) as a feature extractor. To improve the classification power of MLBPN's we suggest an integrated neural network system which consists of an AR Network and many small-sized MA Networks. The output of AR Network which will gives the MA order. A step-by-step training strategy is also suggested so that the learned MLBPN's can effectively ESACF patterns contaminated by the high level of noises. The experiment with the artificially generated test data and real world data showed the promising results. Our approach, combined with a statistical parameter estimation method, will provide a way to the automation of ARMA modeling.