Forecasting the NN5 time series with hybrid models
AbstractWe propose a simple way of predicting time series with recurring seasonal periods. Missing values of the time series are estimated and interpolated in a preprocessing step. We combine several forecasting methods by taking the weighted mean of forecasts that were generated with time-domain models which were validated on left-out parts of the time series. The hybrid model is a combination of a neural network ensemble, an ensemble of nearest trajectory models and a model for the 7-day cycle. We apply this approach to the NN5 time series competition data set.
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 27 (2011)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/locate/ijforecast
Forecasting competitions Combining forecasts Nonlinear time series Seasonality Neural networks;
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2010-04, Banco de México.
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