A COMPARATIVE ANALYSIS OF VECTOR AUTOREGRESSIVE MODEL AND NEURAL NETWORKS
نویسندگان
چکیده
In this work, vector autoregression and neural network approach to multivariate time series analysis is presented. A autoregressive model multilayer perceptron with back-propagation, gradient descent algorithm have been designed the monthly average exchange rates of three international currencies respect naira. The span over period January, 2012 August, 2017. original were preprocessed smoothen distribution facilitate fast convergence in algorithm. training learn combined rates, a remarkable achievement was made. Adding beauty fact that number units input layer predetermined through VAR model. Using some performance measures (RMSE, MBE R2), it recorded performs better than as yielded minimum error prediction.
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ژورنال
عنوان ژورنال: International Journal of Mathematics and Statistics
سال: 2023
ISSN: ['0973-8347']
DOI: https://doi.org/10.53555/eijms.v4i2.21