Neural network ensembles for time series prediction

Dymitr Ruta, Bogdan Gabrys

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

26 Scopus citations

Abstract

Rapidly evolving businesses generate massive amounts of time-stamped data sequences and defy a demand for massively multivariate time series analysis. For such data the predictive engine shifts from the historical auto-regression to modelling complex non-linear relationships between multidimensional features and the time series outputs. In order to exploit these time-disparate relationships for the improved time series forecasting, the system requires a flexible methodology of combining multiple prediction models applied to multiple versions of the temporal data under significant noise component and variable temporal depth of predictions. In reply to this challenge a composite time series prediction model is proposed which combines the strength of multiple neural network (NN) regressors applied to the temporally varied feature subsets and the postprocessing smoothing of outputs developed to further reduce noise. The key strength of the model is its excellent adaptability and generalisation ability achieved through a highly diversified set of complementary NN models. The model has been evaluated within NISIS Competition 2006 and NN3 Competition 2007 concerning prediction of univariate and multivariate time-series. It showed the best predictive performance among 12 competitive models in the NISIS 2006 and is under evaluation within NN3 2007 Competition.

Original languageBritish English
Title of host publicationThe 2007 International Joint Conference on Neural Networks, IJCNN 2007 Conference Proceedings
Pages1204-1209
Number of pages6
DOIs
StatePublished - 2007
Event2007 International Joint Conference on Neural Networks, IJCNN 2007 - Orlando, FL, United States
Duration: 12 Aug 200717 Aug 2007

Publication series

NameIEEE International Conference on Neural Networks - Conference Proceedings
ISSN (Print)1098-7576

Conference

Conference2007 International Joint Conference on Neural Networks, IJCNN 2007
Country/TerritoryUnited States
CityOrlando, FL
Period12/08/0717/08/07

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