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A Matlab Code for Univariate Time Series Forecasting

Author

Listed:
  • Shapour Mohammadi

    (University of Tehran)

  • Hossein Abbasi- Nejad

    (University of Tehran)

Abstract

This M-File forecasts univariate time series such as stock prices with a feedforward neural networks. It finds best (minimume RMSE) network automatically and uses early stopping method for solving overfitting problem.

Suggested Citation

  • Shapour Mohammadi & Hossein Abbasi- Nejad, 2005. "A Matlab Code for Univariate Time Series Forecasting," Computer Programs 0505001, EconWPA.
  • Handle: RePEc:wpa:wuwppr:0505001
    Note: Type of Document - pdf
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    File URL: http://econwpa.repec.org/eps/prog/papers/0505/0505001.pdf
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    More about this item

    Keywords

    Neural Networks; Time Series; Early Stopping; Forecasting;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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