Empirical comparison of Box-Jenkins models, artificial neural network and singular spectrum analysis in forecasting time series

DOI10.22055/JAMM.2017.12998MaRDI QIDQ4615744zbMATH OpenOpenAlexFDO

Authors Masoud Yarmohammadi, Mahdi Kalantari, Rahim Mahmoudvand

Publication date 29 January 2019

Full work available at URL https://jamm.scu.ac.ir/article_12998_224f43c37fa9630b1c183a95c8a490cd.pdf

zbMATH Keywords

time seriesneural networkssingular spectrum analysisBox-Jenkins models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Learning and adaptive systems in artificial intelligence (68T05) Economic time series analysis (91B84)

Recommendations

• scientific article; zbMATH DE number 2164120
• Artificial neural networks in time series forecasting: a comparative analysis.
• scientific article; zbMATH DE number 2094559
• scientific article; zbMATH DE number 1974055
• A comparison of neural network methods and Box--Jenkins model in time series analysis

Cites work

• A Statistical Approach to Neural Networks for Pattern Recognition
• A multi-model algorithm for parameter estimation of time-varying nonlinear systems
• A review on singular spectrum analysis for economic and financial time series
• Analysis of time series structure. SSA and related techniques
• Extracting qualitative dynamics from experimental data
• Forecasting mortality rate by singular spectrum analysis
• Neural networks and sea time series. Recontruction and extreme-event analysis.
• Neural networks. Methodology and applications. Translated from the 2nd French edition (2004)
• On the singular values of the Hankel matrix with application in singular spectrum analysis
• Separability and window length in singular spectrum analysis
• Singular spectrum analysis for time series.
• Singular spectrum analysis for time series: Introduction to this special issue
• Time series analysis. Forecasting and control

Cited in

(3)

• A comparative study of singular spectrum analysis, neural network, ARIMA and exponential smoothing for monthly rainfall forecasting
• scientific article; zbMATH DE number 2164120 (Why is no real title available?)
• scientific article; zbMATH DE number 1974055 (Why is no real title available?)

Describes a project that uses

Uses Software

• fpp
• CaterpillarSSA
• Forecast
• forecast

This page was built for publication: Empirical comparison of Box-Jenkins models, artificial neural network and singular spectrum analysis in forecasting time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4615744)