AN EXTENDED FUZZY ARTIFICIAL NEURAL NETWORKS MODEL FOR TIME SERIES FORECASTING

Authors

  • Mehdi Bijari Industrial Engineering Department, Isfahan University of Technology, Isfahan, Iran
  • Mehdi Khashe Industrial Engineering Department, Isfahan University of Technol- ogy, Isfahan, Iran
  • Seyed Reza Hejazi Industrial Engineering Department, Isfahan University of Tech- nology, Isfahan, Iran
Abstract:

Improving time series forecastingaccuracy is an important yet often difficult task.Both theoretical and empirical findings haveindicated that integration of several models is an effectiveway to improve predictive performance, especiallywhen the models in combination are quite different. In this paper,a model of the hybrid artificial neural networks andfuzzy model is proposed for time series forecasting, usingautoregressive integrated moving average models. In the proposedmodel, by first modeling the linear components, autoregressive integrated moving average models arecombined with the these hybrid models to yield amore general and accurate forecasting model than thetraditional hybrid artificial neural networks and fuzzy models. Empirical results for  financialtime series forecasting indicate that the proposed model exhibitseffectively improved forecasting accuracy and hence is an appropriate forecasting tool for financial timeseries forecasting.

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Journal title

volume 8  issue 3

pages  45- 66

publication date 2011-10-17

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