Automatic time series forecasting using nonlinear autoregressive neural network model with exogenous input

Hermansah, Hermansah and Rosadi, Dedi and Abdurakhman, Abdurakhman and Utami, Herni (2021) Automatic time series forecasting using nonlinear autoregressive neural network model with exogenous input. Bulletin of Electrical Engineering and Informatics, 10 (5). 2836 – 2844. ISSN 20893191

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Abstract

This study aims to determine an automatic forecasting method of univariate time series, using the nonlinear autoregressive neural network model with exogenous input (NARX). In this automatic setting, users only need to supply the input of time series. Then, an automatic forecasting algorithm sets up the appropriate features, estimate the parameters in the model, and calculate forecasts, without the users’ intervention. The algorithm method used include preprocessing, tests for trends, and the application of first differences. The time series were tested for seasonality, and seasonal differences were obtained from a successful analysis. These series were also linearly scaled to −1, +1. The autoregressive lags and hidden neurons were further selected through the stepwise and optimization algorithms, respectively. The 20 NARX models were fitted with different random starting weights, and the forecasts were combined using the ensemble operator, in order to obtain the final product. This proposed method was applied to real data, and its performance was compared with several available automatic models in the literature. The forecasting accuracy was also measured by mean squared error (MSE) and mean absolute percent error (MAPE), and the results showed that the proposed method outperformed the other automatic models. © 2021, Institute of Advanced Engineering and Science. All rights reserved.

Item Type: Article
Additional Information: Cited by: 2; All Open Access, Gold Open Access, Green Open Access
Uncontrolled Keywords: Automatic forecasting; Ensemble operator; NARX model; NARX model; NARX model; NARX model
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Mathematics and Natural Sciences > Mathematics Department
Depositing User: Sri JUNANDI
Date Deposited: 30 Oct 2024 00:46
Last Modified: 30 Oct 2024 00:46
URI: https://ir.lib.ugm.ac.id/id/eprint/8470

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