Comparison of direct and iterative artificial neural network forecast approaches in multi-periodic time series forecasting

HAMZAÇEBİ C., AKAY D., Kutay F.

EXPERT SYSTEMS WITH APPLICATIONS, cilt.36, sa.2, ss.3839-3844, 2009 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 36 Sayı: 2
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1016/j.eswa.2008.02.042
  • Dergi Adı: EXPERT SYSTEMS WITH APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.3839-3844
  • Anahtar Kelimeler: Artificial neural networks, Direct forecast method, Iterative forecast method, Box-Jenkins models, Time series forecasting, Grey relational analysis, GREY SYSTEMS, MODELS, PREDICTION, SELECTION
  • Gazi Üniversitesi Adresli: Evet

Özet

Artificial neural network is a valuable tool for time series forecasting. In the case of performing multiperiodic forecasting with artificial neural networks. two methods, namely iterative and direct, can be used. In iterative method, first subsequent period information is predicted through past observations. Afterwards, the estimated value is used as an input; thereby the next period is predicted. The process is carried on until the end of the forecast horizon. In the direct forecast method, successive periods can be predicted all at once. Hence, this method is thought to yield better results as only observed data is utilized in order to predict future periods. In this study, forecasting was performed using direct and iterative methods, and results of the methods are compared using grey relational analysis to find the method which gives a better result. (C) 2008 Elsevier Ltd. All rights reserved.