Holt's exponential smoothing and neural network models for forecasting interval-valued time series
Interval-valued time series are interval-valued data that are collected in a chronological sequence over time. This paper introduces three approaches to forecasting interval-valued time series. The first two approaches are based on multilayer perceptron (MLP) neural networks and Holt's exponential smoothing methods, respectively. In Holt's method for interval-valued time series, the smoothing parameters are estimated by using techniques for non-linear optimization problems with bound constraints. The third approach is based on a hybrid methodology that combines the MLP and Holt models. The practicality of the methods is demonstrated through simulation studies and applications using real interval-valued stock market time series.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marie Chavent & Francisco Carvalho & Yves Lechevallier & Rosanna Verde, 2006. "New clustering methods for interval data," Computational Statistics, Springer, vol. 21(2), pages 211-229, June.
- Billard L. & Diday E., 2003. "From the Statistics of Data to the Statistics of Knowledge: Symbolic Data Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 470-487, January.
- Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94.
- Lima Neto, Eufrasio de A. & de Carvalho, Francisco de A.T., 2008. "Centre and Range method for fitting a linear regression model to symbolic interval data," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1500-1515, January.
- Lima Neto, Eufrásio de A. & de Carvalho, Francisco de A.T., 2010. "Constrained linear regression models for symbolic interval-valued variables," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 333-347, February.
- Holt, Charles C., 2004. "Forecasting seasonals and trends by exponentially weighted moving averages," International Journal of Forecasting, Elsevier, vol. 20(1), pages 5-10.
- Groenen, P.J.F. & Winsberg, S. & Rodriguez, O. & Diday, E., 2006. "I-Scal: Multidimensional scaling of interval dissimilarities," Computational Statistics & Data Analysis, Elsevier, vol. 51(1), pages 360-378, November.
- Arroyo, Javier & Maté, Carlos, 2009. "Forecasting histogram time series with k-nearest neighbours methods," International Journal of Forecasting, Elsevier, vol. 25(1), pages 192-207.
- Holt, Charles C., 2004. "Author's retrospective on 'Forecasting seasonals and trends by exponentially weighted moving averages'," International Journal of Forecasting, Elsevier, vol. 20(1), pages 11-13.
- Zou, Hui & Yang, Yuhong, 2004. "Combining time series models for forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 69-84.
- Williams, Dan W. & Miller, Don, 1999. "Level-adjusted exponential smoothing for modeling planned discontinuities1," International Journal of Forecasting, Elsevier, vol. 15(3), pages 273-289, July.
- 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.
- repec:dau:papers:123456789/12414 is not listed on IDEAS
- Peter R. Winters, 1960. "Forecasting Sales by Exponentially Weighted Moving Averages," Management Science, INFORMS, vol. 6(3), pages 324-342, April.
When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:27:y::i:3:p:740-759. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.