Forecasting time series using a methodology based on autoregressive integrated moving average and genetic programming

Authors:
Yi-Shian Lee;Lee-Ing Tong
Affiliations:
Department of Industrial Engineering and Management, National Chiao Tung University, 1001, Ta-Hsuch Rd., Hsinchu 300, Taiwan;Department of Industrial Engineering and Management, National Chiao Tung University, 1001, Ta-Hsuch Rd., Hsinchu 300, Taiwan
Venue:
Knowledge-Based Systems
Year:
2011

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Abstract

The autoregressive integrated moving average (ARIMA), which is a conventional statistical method, is employed in many fields to construct models for forecasting time series. Although ARIMA can be adopted to obtain a highly accurate linear forecasting model, it cannot accurately forecast nonlinear time series. Artificial neural network (ANN) can be utilized to construct more accurate forecasting model than ARIMA for nonlinear time series, but explaining the meaning of the hidden layers of ANN is difficult and, moreover, it does not yield a mathematical equation. This study proposes a hybrid forecasting model for nonlinear time series by combining ARIMA with genetic programming (GP) to improve upon both the ANN and the ARIMA forecasting models. Finally, some real data sets are adopted to demonstrate the effectiveness of the proposed forecasting model.