51. Trend Time-Series Modeling and Forecasting With Neural Networks.
- Author
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Min Qi and Zhang, G. Peter
- Subjects
TIME series analysis software ,TIME series analysis ,MATHEMATICAL statistics ,ARTIFICIAL neural networks ,ARTIFICIAL intelligence ,EVOLUTIONARY computation - Abstract
Despite its great importance, there has been no general consensus on how to model the trends in time-series data. Compared to traditional approaches, neural networks (NNs) have shown some promise in time-series forecasting. This paper investigates how to best model trend time series using NNs. Four different strategies (raw data, raw data with time index, detrending, and dif- ferencing) are used to model various trend patterns (linear, non- linear, deterministic, stochastic, and breaking trend). We find that with NNs differencing often gives meritorious results regardless of the underlying data generating processes (DGPs). This finding is also confirmed by the real gross national product (GNP) series. [ABSTRACT FROM AUTHOR]
- Published
- 2008
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