Improving Prediction Accuracy of Time Series Data Using ARIMA-ANN Hybrid Model and Regression Analysis
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Published:
Jan 25, 2021
Keywords:
ARIMA-ANN, hybrid model, regression analysis, time series data
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Abstract
The new hybrid model using linear regression methods to combine both ARIMA and Artificial Neural Networks (ARIMA-ANN-REG Hybrid Model) achieves better prediction accuracy than the traditional hybrid model combining ARIMA and ANN (ARIMA-ANN Hybrid Model). This research examines and compares the prediction accuracy among ARIMA model, ARIMA-ANN model, and ARIMA-ANN-REG model by using both real and simulated data for the comparison of prediction accuracy. The simulated data are generated from 8 ARIMA processes and the real data are comprised of six real datasets in Thailand. The results suggest that ARIMA-ANN-REG model has the highest prediction accuracy in both real and simulated data.
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วิทยาศาสตร์กายภาพ
References
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[3] Zhang, P.G., 2003, Time series forecasting using a hybrid ARIMA and neural network model, Neurocomputing 50: 159-175.
[4] Faruk, D.O., 2010, A hybrid neural network and ARIMA model for water quality time series prediction, Eng. Appl. Artif. Intell. 23: 586-594.
[5] Meth, N., Saxena, V.P. and Pardasani, K.R., 2010, A comparison between hybrid approaches of ANN and ARIMA for Indian stock trend forecasting, Bus. Intell. J. 3: 23-43.
[6] Koutroumanidis, T., Ioannou, K. and Arabatzis, G., 2009, Predicting fuel wood prices in Greece with the use of ARIMA models artificial neural networks and a hybrid ARIMA-ANN model, Energy Pol. 37: 3627-3634.
[7] Ebrahimi, A., 2019, Time series forecasting of styrene price using a hybrid ARIMA and neural network model, Indep. J. Manag. Prod. 10: 915-933.
[8] Siripanich, P., Nillaporn, P. and Trakarnta lerngsuk, S., 2007, Time Series Forecasting Using a Combined ARIMA and Artificial Neural Network Model of Styrene Price Using a Hybrid ARIMA and Neural Network Model, Operations Research Network 2007, 7 p. (in Thai)
[9] Boonmana, C. and Kulvanich, N., 2017, A comparative prediction accuracy of hybrid time series models, Thai Sci. Technol. J. 25(2): 177-190. (in Thai)
[10] Somsila, C., Chiewchanwattana, S. and Sunat, K., 2010, Hybrid Model for Air Quality Data Prediction Case Study: Air Quality Data in Thailand, The 11th Graduate Research Conference, 12 p. (in Thai)
[11] Khairalla, M., Xu-Ning and AL-Jallad, N.T., 2017, Hybrid forecasting scheme for financial time-series data using neural network and statistical methods, IJACSA 8: 319-327.
[12] Zhang, P.G., 2007, A neural network ensemble method with jittered training data for time series forecasting, Inform. Sci. 177: 5329-5346.