Forecasting of time series with trend and seasonal cycle using the airline model and artificial neural networks

Ingeniería y Ciencia

Velásquez, J. D¹  Franco, C. J¹ 

[1] Universidad Nacional de Colombia

关键词: prediction;    nonlinear macroeconomics;    SARIMA;    multilayer perceptrons;   

DOI  :  

学科分类：工程和技术（综合）

来源: Universidad E A F I T

【 摘 要 】

Many time series with trend and seasonal pattern are successfully modeled and forecasted by the airline model of Box and Jenkins; however, this model neglects the presence of nonlinearity on data. In this paper, we propose a new nonlinear version of the airline model; for this, we replace the moving average linear component by a multilayer perceptron neural network. The proposed model is used for forecasting two benchmark time series; we found that the proposed model is able to forecast the time series with more accuracy that other traditional approaches.

【 授权许可】

CC BY