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Time series forecasting with neural networks: a comparative study using the air line data
Author(s) -
Faraway Julian,
Chatfield Chris
Publication year - 1998
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.1111/1467-9876.00109
Subject(s) - akaike information criterion , artificial neural network , bayesian information criterion , computer science , model selection , bayesian probability , machine learning , information criteria , econometrics , line (geometry) , series (stratigraphy) , artificial intelligence , data mining , mathematics , paleontology , geometry , biology
This case‐study fits a variety of neural network (NN) models to the well‐known air line data and compares the resulting forecasts with those obtained from the Box–Jenkins and Holt–Winters methods. Many potential problems in fitting NN models were revealed such as the possibility that the fitting routine may not converge or may converge to a local minimum. Moreover it was found that an NN model which fits well may give poor out‐of‐sample forecasts. Thus we think it is unwise to apply NN models blindly in ‘black box’ mode as has sometimes been suggested. Rather, the wise analyst needs to use traditional modelling skills to select a good NN model, e.g. to select appropriate lagged variables as the ‘inputs’. The Bayesian information criterion is preferred to Akaike's information criterion for comparing different models. Methods of examining the response surface implied by an NN model are examined and compared with the results of alternative nonparametric procedures using generalized additive models and projection pursuit regression. The latter imposes less structure on the model and is arguably easier to understand.