A D-GMDH model for time series forecasting

Mingzhu Zhang, Changzheng He, Panos Liatsis

Research output: Contribution to journalArticlepeer-review

15 Scopus citations

Abstract

Traditional GMDH (group method of data handling) method has been applied in series forecasting successfully many times. In this paper, we bring concept of diversity into GMDH to improve the noise-immunity ability. Five diversity metrics are used as external criteria to construct a new kind of GMDH forecasting models called D-GMDH. To assess the effectiveness of D-GMDH, we compare them with traditional GMDH method, autoregressive integrated moving average (ARIMA) and artificial neural network (ANN), and find out that the two models - D-GMDH (chi) and D-GMDH (cor) - are better than the others among the five D-GMDH models. The two better models are then used to forecast financial time series with noise. Results show that the two new proposed models can provide high forecasting accuracy in noisy environment.

Original languageBritish English
Pages (from-to)5711-5716
Number of pages6
JournalExpert Systems with Applications
Volume39
Issue number5
DOIs
StatePublished - Apr 2012

Keywords

  • Diversity
  • GMDH
  • Noise
  • Time series forecasting

Fingerprint

Dive into the research topics of 'A D-GMDH model for time series forecasting'. Together they form a unique fingerprint.

Cite this