Time Series Analysis Using Neural Networks : Forecasting Performance Analysis with M1-Competition Data

신경망을 이용한 시계열 분석 : M1-Competition Data에 대한 예측성과 분석

Neural Networks have been advocated as an alternative to statistical forecasting methods. However, the empirical evidences are not consistent. In the present experiments, multi-layered perceptron (MLP) are adopted as approximator to the time series generating processes. To prevent the MLP from being overfitted to the given time series, the information obtained from ARMA modeling is used to determine the architecture of MLP. The proposed approach was tested empirically using the subsamples of the 111 time series used in the first Markridakis Competition. The forecasting results were analyzed to find out the factors that affect the performance of MLP. The experimental results show that the proposed approach outperforms ARMA models in terms of fitting and forecasting accuracy. In addition, it is found that the use of deseasonalized data improves the forecasting accuracy of MLP.