A comparative study of neural network and Box-Jenkins ARIMA modeling in time series prediction

Authors:
S. L. Ho;M. Xie;T. N. Goh
Affiliations:
Ngee Ann Polytechnic, The Centre for Quality, 535 Clementi Road, Singapore;National University of Singapore, 10 Keat Ridge Crescent, Singapore;National University of Singapore, 10 Keat Ridge Crescent, Singapore
Venue:
Computers and Industrial Engineering - 26th International conference on computers and industrial engineering
Year:
2002

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Abstract

This paper aims to investigate suitable time series models for repairable system failure analysis. A comparative study of the Box-Jenkins autoregressive integrated moving average (ARIMA) models and the artificial neural network models in predicting failures are carried out. The neural network architectures evaluated are the multi-layer feed-forward network and the recurrent network. Simulation results on a set of compressor failures showed that in modeling the stochastic nature of reliability data, both the ARIMA and the recurrent neural network (RNN) models outperform the feed-forward model; in terms of lower predictive errors and higher percentage of correct reversal detection. However, both models perform better with short term forecasting. The effect of varying the damped feedback weights in the recurrent net is also investigated and it was found that RNN at the optimal weighting factor gives satisfactory performances compared to the ARIMA model.