Adaptive neural network model for time-series forecasting

Wai Keung Wong, Min Xia, W. C. Chu

Research output: Journal article publicationJournal articleAcademic researchpeer-review

70 Citations (Scopus)

Abstract

In this study, a novel adaptive neural network (ADNN) with the adaptive metrics of inputs and a new mechanism for admixture of outputs is proposed for time-series prediction. The adaptive metrics of inputs can solve the problems of amplitude changing and trend determination, and avoid the over-fitting of networks. The new mechanism for admixture of outputs can adjust forecasting results by the relative error and make them more accurate. The proposed ADNN method can predict periodical time-series with a complicated structure. The experimental results show that the proposed model outperforms the auto-regression (AR), artificial neural network (ANN), and adaptive k-nearest neighbors (AKN) models. The ADNN model is proved to benefit from the merits of the ANN and the AKN through its' novel structure with high robustness particularly for both chaotic and real time-series predictions.
Original languageEnglish
Pages (from-to)807-816
Number of pages10
JournalEuropean Journal of Operational Research
Volume207
Issue number2
DOIs
Publication statusPublished - 1 Dec 2010

Keywords

  • Adaptive metrics
  • Forecasting
  • Neural networks
  • Time-series

ASJC Scopus subject areas

  • Modelling and Simulation
  • Management Science and Operations Research
  • Information Systems and Management

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