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Appears in Collections:Computing Science and Mathematics Journal Articles
Peer Review Status: Refereed
Title: A Novel Neural Network Ensemble Architecture for Time Series Forecasting
Author(s): Gheyas, Iffat A
Smith, Leslie
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Keywords: Time series forecasting
Generalized regression neural networks
Neural network ensemble
Curse of dimensionality
Dynamic nonlinear weighted voting
Issue Date: Nov-2011
Citation: Gheyas IA & Smith L (2011) A Novel Neural Network Ensemble Architecture for Time Series Forecasting, Neurocomputing, 74 (18), pp. 3855-3864.
Abstract: We propose a novel homogeneous neural network ensemble approach called Generalized Regression Neural Network (GEFTS-GRNN) Ensemble for Forecasting Time Series, which is a concatenation of existing machine learning algorithms.GEFTS use a dynamic nonlinear weighting system wherein the outputs from several base-level GRNNs are combined using a combiner GRNN to produce the final output. We compare GEFTS with the 11 most used algorithms on 30 real datasets. The proposed algorithm appears to be more powerful than existing ones. Unlike conventional algorithms, GEFTS is effective in forecasting time series with seasonal patterns.
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