Evolving Time Series Forecasting ARMA Models

Authors:
Paulo Cortez;Miguel Rocha;José Neves
Affiliations:
Departamento de Sistemas de Informação, Campus de Azurém, Universidade do Minho, 4800-058 Guimarães, Portugal. pcortez@dsi.uminho.pt;Departamento de Informática, Campus de Gualtar, Universidade do Minho, 4710-057 Braga, Portugal. mrocha@di.uminho.pt;Departamento de Informática, Campus de Gualtar, Universidade do Minho, 4710-057 Braga, Portugal. jneves@di.uminho.pt
Venue:
Journal of Heuristics
Year:
2004

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Abstract

Time Series Forecasting (TSF) allows the modeling of complex systems as “black-boxes”, being a focus of attention in several research arenas such as Operational Research, Statistics or Computer Science. Alternative TSF approaches emerged from the Artificial Intelligence arena, where optimization algorithms inspired on natural selection processes, such as Evolutionary Algorithms (EAs), are popular. The present work reports on a two-level architecture, where a (meta-level) binary EA will search for the best ARMA model, being the parameters optimized by a (low-level) EA, which encodes real values. The handicap of this approach is compared with conventional forecasting methods, being competitive.