A Business Forecasting Competition Approach to Modeling Artificial Neural Networks for Time Series Prediction

Various heuristic approaches have been proposed to limit design complexity and computing time in artificial neural network modelling, parameterisation and selection for time series prediction. However, no single approach demonstrates robust superiority on arbitrary datasets, causing additional decision problems and a trial-and-error approach to network modelling. To reflect this, we propose an extensive modelling approach exploiting available computational power to generate a multitude of models. This shifts the emphasis from evaluating different heuristic rules towards the valid and reliable selection of a single network architecture from a population of models, as common in business forecasting competitions. Experimental predictions are computed for the airline passenger data using variants of a multilayer perceptron trained with backproagation to minimize a mean squared error objective function, deriving a robust selection rule for superior prediction results.