Forecasting seasonal time series with computational intelligence: On recent methods and the potential of their combinations

  • Authors:
  • Martin ŠTpničKa;Paulo Cortez;Juan Peralta Donate;Lenka ŠTpničKová

  • Affiliations:
  • IRAFM, Centre of Excellence IT4Innovations, Division University of Ostrava, 30. dubna 22, 701 03 Ostrava, Czech Republic;Centro Algoritmi, Departamento de Sistemas de Informação, Universidade do Minho, Campus Azurém, 4800-058 Guimarães, Portugal;Centro de Visión por Computación, Universidad Autónoma de Barcelona, Edifici O, 08193-Bellaterra, Barcelona, Spain;IRAFM, Centre of Excellence IT4Innovations, Division University of Ostrava, 30. dubna 22, 701 03 Ostrava, Czech Republic

  • Venue:
  • Expert Systems with Applications: An International Journal
  • Year:
  • 2013

Quantified Score

Hi-index 12.05

Visualization

Abstract

Accurate time series forecasting is a key issue to support individual and organizational decision making. In this paper, we introduce novel methods for multi-step seasonal time series forecasting. All the presented methods stem from computational intelligence techniques: evolutionary artificial neural networks, support vector machines and genuine linguistic fuzzy rules. Performance of the suggested methods is experimentally justified on seasonal time series from distinct domains on three forecasting horizons. The most important contribution is the introduction of a new hybrid combination using linguistic fuzzy rules and the other computational intelligence methods. This hybrid combination presents competitive forecasts, when compared with the popular ARIMA method. Moreover, such hybrid model is more easy to interpret by decision-makers when modeling trended series.