Soft-computing techniques and ARMA model for time series prediction

The challenge of predicting future values of a time series covers a variety of disciplines. The fundamental problem of selecting the order and identifying the time varying parameters of an autoregressive moving average model (ARMA) concerns many important fields of interest such as linear prediction, system identification and spectral analysis. Recent research activities in forecasting with artificial neural networks (ANNs) suggest that ANNs can be a promising alternative to the traditional ARMA structure. These linear models and ANNs are often compared with mixed conclusions in terms of the superiority in forecasting performance. This study was designed: (a) to investigate a hybrid methodology that combines ANN and ARMA models; (b) to resolve one of the most important problems in time series using ARMA structure and Box–Jenkins methodology: the identification of the model. In this paper, we present a new procedure to predict time series using paradigms such as: fuzzy systems, neural networks and evolutionary algorithms. Our goal is to obtain an expert system based on paradigms of artificial intelligence, so that the linear model can be identified automatically, without the need of human expert participation. The obtained linear model will be combined with ANN, making up an hybrid system that could outperform the forecasting result. r 2007 Elsevier B.V. All rights reserved.