نتایج جستجو برای: Multiple-step-ahead Forecasting

تعداد نتایج: 1058493  

Journal: Iranian Economic Review 2019

I n this paper, we specify that the GARCH(1,1) model has strong forecasting volatility and its usage under the truncated standard normal distribution (TSND) is more suitable than when it is under the normal and student-t distributions. On the contrary, no comparison was tried between the forecasting performance of volatility of the daily return series using the multi-step ahead forec...

Journal: :Expert Syst. Appl. 2012
Souhaib Ben Taieb Gianluca Bontempi Amir F. Atiya Antti Sorjamaa

Multi-step ahead forecasting is still an open challenge in time series forecasting. Several approaches that deal with this complex problem have been proposed in the literature but an extensive comparison on a large number of tasks is still missing. This paper aims to fill this gap by reviewing existing strategies for multi-step ahead forecasting and comparing them in theoretical and practical t...

2004
D. NAGESH KUMAR K. SRINIVASA

Forecasting a hydrologic time series has been one of the most complicated tasks owing to the wide range of data, the uncertainties in the parameters influencing the time series and also due to the non availability of adequate data. Recently, Artificial Neural Networks (ANNs) have become quite popular in time series forecasting in various fields. This paper demonstrates the use of ANNs to foreca...

1999
D. Nagesh Kumar T. Sathish

Forecasting a hydrologic time series has been one of the most complicated tasks owing to the wide range of data, the uncertainties in the parameters influencing the time series and also due to the non availability of adequate data. Recently Artificial Neural Networks (ANN) have become quite popular in time series forecasting in various fields. This paper demonstrates the use of ANN to forecast ...

Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world. The nature of these markets are accompanied by sudden shocks and volatility in the prices. Therefore, they must be controlled and forecasted by using appropriate tools. This paper adopts the Generalized Auto Regressive Condition...

2011
Perry Groot Peter Lucas Paul van den Bosch

Forecasting of non-linear time series is a relevant problem in control. Furthermore, an estimate of the uncertainty of the prediction is useful for constructing robust controllers. Multiple-step ahead forecasting has recently been addressed using Gaussian processes, but direct implementations are restricted to small data sets. In this paper we consider multiple-step forecasting for sparse Gauss...

2017
Georgia Papacharalampous Hristos Tyralis Demetris Koutsoyiannis

hydropower reservoirs Georgia Papacharalampous*, Hristos Tyralis, and Demetris Koutsoyiannis Department of Water Resources and Environmental Engineering, School of Civil Engineering, National Technical University of Athens, Iroon Polytechniou 5, 157 80 Zografou, Greece * Corresponding author, [email protected] Abstract: Multi-step ahead streamflow forecasting is of practical i...

2003
Yves Grandvalet Xia Ding

When dealing with time series the one step ahead forecasting problem based on experimental data is the problem of estimating the autoregression function of the underlying process When minimizing the expected forecast ing error is the main goal the exible approach has to be used to be able to adjust the complexity of the model to the complexity of the data Multilay ered perceptrons are a popular...

2005
Nicos G. Pavlidis Dimitris K. Tasoulis Michael N. Vrahatis

This paper presents a time series forecasting methodology and applies it to generate multiple–step–ahead predictions for the direction of change of the daily exchange rate of the Japanese Yen against the US Dollar. The proposed methodology draws from the disciplines of chaotic time series analysis, clustering, and artificial neural networks. In brief, clustering is applied to identify neighborh...

Journal: :journal of computer and robotics 0
mohammad talebi motlagh department of systems and control, industrial control center of excellence, k.n.toosi university of technology, tehran, iran hamid khaloozadeh department of systems and control, industrial control center of excellence, k.n.toosi university of technology, tehran, iran

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...

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