tsfgrnn

CRANtsfgrnnMaRDI QIDQ62184

Time Series Forecasting Using GRNN

Maria Pilar Frias-Bustamante, Ana Maria Martinez-Rodriguez, Antonio Conde-Sanchez, Francisco Martinez

Last update: 15 February 2024

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.0.4, 0.1.0, 1.0.0, 1.0.1, 1.0.2, 1.0.5

Description

A general regression neural network (GRNN) is a variant of a Radial Basis Function Network characterized by a fast single-pass learning. 'tsfgrnn' allows you to forecast time series using a GRNN model Francisco Martinez et al. (2019) <doi:10.1007/978-3-030-20521-8_17> and Francisco Martinez et al. (2022) <doi:10.1016/j.neucom.2021.12.028>. When the forecasting horizon is higher than 1, two multi-step ahead forecasting strategies can be used. The model built is autoregressive, that is, it is only based on the observations of the time series. You can consult and plot how the prediction was done. It is also possible to assess the forecasting accuracy of the model using rolling origin evaluation.

Cites work

• Automatic Time Series Forecasting with GRNN: A Comparison with Other Models
• Strategies for time series forecasting with generalized regression neural networks

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