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Conditionally dependent strategies for multiple-step-ahead prediction in local learning


  • Bontempi, Gianluca
  • Ben Taieb, Souhaib


Computational intelligence approaches to multiple-step-ahead forecasting rely on either iterated one-step-ahead predictors or direct predictors. In both cases the predictions are obtained by means of multi-input single-output modeling techniques. This paper discusses the limitations of single-output approaches when the predictor is expected to return a long series of future values, and presents a multi-output approach to long term prediction. The motivation for this work is that, when predicting multiple steps ahead, the forecasted sequence should preserve the stochastic properties of the training series. However, this may not be the case, for instance in direct approaches where predictions for different horizons are produced independently. We discuss here a multi-output extension of conventional local modeling approaches, and present and compare three distinct criteria for performing conditionally dependent model selection. In order to assess the effectiveness of the different selection strategies, we carry out an extensive experimental session based on the 111 series in the NN5 competition.

Suggested Citation

  • Bontempi, Gianluca & Ben Taieb, Souhaib, 2011. "Conditionally dependent strategies for multiple-step-ahead prediction in local learning," International Journal of Forecasting, Elsevier, vol. 27(3), pages 689-699, July.
  • Handle: RePEc:eee:intfor:v:27:y::i:3:p:689-699

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    References listed on IDEAS

    1. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    2. 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.
    3. Zhang, Guoqiang & Eddy Patuwo, B. & Y. Hu, Michael, 1998. "Forecasting with artificial neural networks:: The state of the art," International Journal of Forecasting, Elsevier, vol. 14(1), pages 35-62, March.
    4. Tashman, Leonard J., 2000. "Out-of-sample tests of forecasting accuracy: an analysis and review," International Journal of Forecasting, Elsevier, vol. 16(4), pages 437-450.
    5. 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.
    6. Armstrong, J. Scott & Collopy, Fred, 1992. "Error measures for generalizing about forecasting methods: Empirical comparisons," International Journal of Forecasting, Elsevier, vol. 8(1), pages 69-80, June.
    7. Rong Chen & Lijian Yang & Christian Hafner, 2004. "Nonparametric multistep-ahead prediction in time series analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 669-686.
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    Cited by:

    1. Zhao, Weigang & Wei, Yi-Ming & Su, Zhongyue, 2016. "One day ahead wind speed forecasting: A resampling-based approach," Applied Energy, Elsevier, vol. 178(C), pages 886-901.
    2. Wang, Jianzhou & Song, Yiliao & Liu, Feng & Hou, Ru, 2016. "Analysis and application of forecasting models in wind power integration: A review of multi-step-ahead wind speed forecasting models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 60(C), pages 960-981.
    3. An, Ning & Zhao, Weigang & Wang, Jianzhou & Shang, Duo & Zhao, Erdong, 2013. "Using multi-output feedforward neural network with empirical mode decomposition based signal filtering for electricity demand forecasting," Energy, Elsevier, vol. 49(C), pages 279-288.
    4. Wu, Yujie & Wang, Jianzhou, 2016. "A novel hybrid model based on artificial neural networks for solar radiation prediction," Renewable Energy, Elsevier, vol. 89(C), pages 268-284.
    5. V. Kamini & V. Ravi & A. Prinzie & D. Van Den Poel, 2013. "Cash Demand Forecasting in ATMs by Clustering and Neural Networks," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/865, Ghent University, Faculty of Economics and Business Administration.

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