Time series forecasting with a non-linear model and the scatter search meta-heuristic

  • Authors:
  • Carlos Gomes da Silva

  • Affiliations:
  • Escola Superior de Tecnologia e Gestão de Leiria, Morro do Lena, Alto Vieiro, 2401-951 Leiria, Portugal and INESC-Coimbra, Rua Antero de Quental, 199, 3000-033 Coimbra, Portugal

  • Venue:
  • Information Sciences: an International Journal
  • Year:
  • 2008

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Abstract

Forecasting the behavior of variables (e.g., economic, financial, physical) is of strategic value for organizations, which helps to sustain practical interest in the development of alternative models and resolution procedures. This paper presents a non-linear model that combines radial basis functions and the ARMA(p,q) structure. The optimal set of parameters for such a model is difficult to find. In this paper, a scatter search meta-heuristic is used to find this optimal set. Five time series are analyzed to assess and illustrate the pertinence of the proposed meta-heuristic method.