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An Empirical Comparison of Machine Learning Models for Time Series Forecasting

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Author Info

  • Nesreen Ahmed
  • Amir Atiya
  • Neamat El Gayar
  • Hisham El-Shishiny

Abstract

In this work we present a large scale comparison study for the major machine learning models for time series forecasting. Specifically, we apply the models on the monthly M3 time series competition data (around a thousand time series). There have been very few, if any, large scale comparison studies for machine learning models for the regression or the time series forecasting problems, so we hope this study would fill this gap. The models considered are multilayer perceptron, Bayesian neural networks, radial basis functions, generalized regression neural networks (also called kernel regression), K-nearest neighbor regression, CART regression trees, support vector regression, and Gaussian processes. The study reveals significant differences between the different methods. The best two methods turned out to be the multilayer perceptron and the Gaussian process regression. In addition to model comparisons, we have tested different preprocessing methods and have shown that they have different impacts on the performance.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 29 (2010)
Issue (Month): 5-6 ()
Pages: 594-621

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Handle: RePEc:taf:emetrv:v:29:y:2010:i:5-6:p:594-621

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Related research

Keywords: Comparison study; Gaussian process regression; Machine learning models; Neural network forecasting; Support vector regression;

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Cited by:
  1. Wu, Shaomin & Akbarov, Artur, 2011. "Support vector regression for warranty claim forecasting," European Journal of Operational Research, Elsevier, vol. 213(1), pages 196-204, August.
  2. Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers 2011-28, School of Economics and Management, University of Aarhus.
  3. Andrawis, Robert R. & Atiya, Amir F. & El-Shishiny, Hisham, 2011. "Forecast combinations of computational intelligence and linear models for the NN5 time series forecasting competition," International Journal of Forecasting, Elsevier, vol. 27(3), pages 672-688, July.

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