A new model for time-series forecasting using radial basis functions and exogenous data

Authors:
M. Górriz;G. Puntonet;M. Salmerón;G. de la Rosa
Affiliations:
University of Cádiz, Department of Systems Engineering and Automation, Electronic Technology and Electronics, Spain;University of Granada, Department of Computer Architecture and Computer Technology, Spain;University of Granada, Department of Computer Architecture and Computer Technology, Spain;University of Cádiz, Department of Systems Engineering and Automation, Electronic Technology and Electronics, Spain
Venue:
Neural Computing and Applications
Year:
2004

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Abstract

In this paper, we present a new model for time-series forecasting using radial basis functions (RBFs) as a unit of artificial neural networks (ANNs), which allows the inclusion of exogenous information (EI) without additional pre-processing. We begin by summarizing the most well-known EI techniques used ad hoc, i.e., principal component analysis (PCA) and independent component analysis (ICA). We analyze the advantages and disadvantages of these techniques in time-series forecasting using Spanish bank and company stocks. Then, we describe a new hybrid model for time-series forecasting which combines ANNs with genetic algorithms (GAs). We also describe the possibilities when implementing the model on parallel processing systems.