modelling and forecasting stock market is a challenging task for economists and engineers since it has a dynamic structure and nonlinear characteristic. this nonlinearity affects the efficiency of the price characteristics. using an artificial neural network (ann) is a proper way to model this nonlinearity and it has been used successfully in one-step-ahead and multi-step-ahead prediction of di...

The paper deals with the PAM manipulator modeling and identification based on autoregressive recurrent neural networks. For the first time, the most powerful types of neural-network-based nonlinear autoregressive models, namely, NNARMAX, NNOE and NNARX models, will be applied comparatively to the PAM manipulator identification. Furthermore, the evaluation of different nonlinear neural network a...

This paper develops two dynamic neural network structures to forecast short-term railway passenger demand. The first neural network structure follows the idea of autoregressive model in time series forecasting and forms a nonlinear autoregressive model. In addition, two experiments are tested to eliminate redundant inputs and training samples. The second neural network structure extends the fir...

great effect of three way catalytic convertor (twc) performance on oxygen sensor output voltage has made the sensor (located after catalyst) as the main signal in almost all today’s twc monitoring algorithms. in this paper output voltage of nonlinear oxygen sensor is estimated using a nonlinear autoregressive with exogenous inputs (narx) model. the estimation uses ecu calculated exhaust gas flo...

Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The study is carried out using German daily spot prices from the European Energy Exchange in Leipzig. Four no...

The least squares (LS) can be used for nonlinear autoregressive (NAR) and nonlinear autoregressive moving average (NARMA) parameter estimation. However, for nonlinear cases, the LS results in biased parameter estimation due to its assumption that the independent variables are noise free. The total least squares (TLS) is another method that can used for nonlinear parameter estimation to increase...

Chaotic time-series is a dynamic nonlinear system whose features can not be fully reflected by Linear Regression Model or Static Neural Network. While Nonlinear Autoregressive with eXogenous input includes feedback of network output, therefore, it can better reflect the system’s dynamic feature. Take annual active times of sunspot as an example, after verifying the chaos of sunspot time-series ...

New magnitude bounds of the frequency response functions for the Nonlinear AutoRegressive model with eXogenous input (NARX) are investigated by exploiting the symmetry of the nth-order generalized frequency response function (GFRF) in its n frequency variables. The new magnitude bound of the nth-order symmetric GFRF is frequency-dependent, and is a polynomial function of the magnitude of the fi...

This paper considers a linear model with time varying parameters controlled by a neural network to analyze and forecast nonlinear time series.We show that this formulation, called neural coefficient smooth transition autoregressive (NCSTAR) model, is in close relation to the threshold autoregressive (TAR) model and the smooth transition autoregressive (STAR) model with the advantage of naturall...