Time series forecasting using a hybrid ARIMA and neural network model

Load forecasting has become one of the major areas of research in electrical engineering, and most traditional forecasting models and artificial intelligence techniques have been tried out in this task. Artificial neural networks (NNs) have lately received much attention, and a great number of papers have reported successful experiments and practical tests with them. Nevertheless, some authors remain skeptical, and believe that the advantages of using NNs in forecasting have not been systematically proved yet. In order to investigate the reasons for such skepticism, this review examines a collection of papers (published between 1991 and 1999) that report the application of NNs to short-term load forecasting. Our aim is to help to clarify the issue, by critically evaluating the ways in which the NNs proposed in these papers were designed and tested.

Neural networks for short-term load forecasting: a review and evaluation

We present a unifying framework for studying the solution of multiclass categorization problems by reducing them to multiple binary problems that are then solved using a margin-based binary learning algorithm. The proposed framework unifies some of the most popular approaches in which each class is compared against all others, or in which all pairs of classes are compared to each other, or in which output codes with error-correcting properties are used. We propose a general method for combining the classifiers generated on the binary problems, and we prove a general empirical multiclass loss bound given the empirical loss of the individual binary learning algorithms. The scheme and the corresponding bounds apply to many popular classification learning algorithms including support-vector machines, AdaBoost, regression, logistic regression and decision-tree algorithms. We also give a multiclass generalization error analysis for general output codes with AdaBoost as the binary learner. Experimental results with SVM and AdaBoost show that our scheme provides a viable alternative to the most commonly used multiclass algorithms.

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Reducing multiclass to binary: a unifying approach for margin classifiers

Classification is one of the most active research and application areas of neural networks. The literature is vast and growing. This paper summarizes some of the most important developments in neural network classification research. Specifically, the issues of posterior probability estimation, the link between neural and conventional classifiers, learning and generalization tradeoff in classification, the feature variable selection, as well as the effect of misclassification costs are examined. Our purpose is to provide a synthesis of the published research in this area and stimulate further research interests and efforts in the identified topics.

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Neural networks for classification: a survey

Financial time series forecasting using support vector machines

Forecasting with artificial neural networks: the state of the art

Artificial neural networks in bankruptcy prediction: General framework and cross-validation analysis

In this paper, we present a general framework for understanding the role of artificial neural networks (ANNs) in bankruptcy prediction. We give a comprehensive review of neural network applications in this area and illustrate the link between neural networks and traditional Bayesian classification theory. The method of cross-validation is used to examine the between-sample variation of neural networks for bankruptcy prediction. Based on a matched sample of 220 firms, our findings indicate that neural networks are significantly better than logistic regression models in prediction as well as classification rate estimation. In addition, neural networks are robust to sampling variations in overall classification performance. ” 1999 Elsevier Science B.V. All rights reserved.

https://www.agsm.edu.au/bobm/teaching/SimSS/zhang.pdf

Theory and Methodology Artificial neural networks in bankruptcy prediction: General framework and cross-validation analysis

A simulation study of artificial neural networks for nonlinear time-series forecasting

Econometric methods used in foreign exchange rate forecasting have produced inferior out-of-sample results compared to a random walk model. Applications of neural networks have shown mixed findings. In this paper, we investigate the potentials of neural network models by employing two cross-validation schemes. The effects of different in-sample time periods and sample sizes are examined. Out-of-sample performance evaluated with four criteria across three forecasting horizons shows that neural networks are a more robust forecasting method than the random walk model. Moreover, neural network predictions are quite accurate even when the sample size is relatively small.

B. Eddy Patuwo

Papers

Forecasting with artificial neural networks: the state of the art

Artificial neural networks in bankruptcy prediction: General framework and cross-validation analysis

Theory and Methodology Artificial neural networks in bankruptcy prediction: General framework and cross-validation analysis

A simulation study of artificial neural networks for nonlinear time-series forecasting

A Cross‐Validation Analysis of Neural Network Out‐of‐Sample Performance in Exchange Rate Forecasting