A neural network ensemble method with jittered training data for time series forecasting

• Authors: G. Peter Zhang
• Venue: Information Sciences: an International Journal
• Year: 2007

Improving forecasting especially time series forecasting accuracy is an important yet often difficult task facing decision makers in many areas. Combining multiple models can be an effective way to improve forecasting performance. Recently, considerable research has been taken in neural network ensembles. Most of the work, however, is devoted to the classification type of problems. As time series problems are often more difficult to model due to issues such as autocorrelation and single realization at any particular time point, more research is needed in this area. In this paper, we propose a jittered ensemble method for time series forecasting and test its effectiveness with both simulated and real time series. The central idea of the jittered ensemble is adding noises to the input data and thus augments the original training data set to form models based on different but related training samples. Our results show that the proposed method is able to consistently outperform the single modeling approach with a variety of time series processes. We also find that relatively small ensemble sizes of 5 and 10 are quite effective in forecasting performance improvement.