Comparative analysis of time series forecasting models effectiveness by means of a multi-criteria procedure on the example of financial indicators
Journal Title: Вісник Житомирського державного технологічного університету. Серія: Технічні науки - Year 2019, Vol 83, Issue 1
Abstract
In the course of the research, a program complex was developed for forecasting time series using models of different classes and analysis of their effectiveness. Known time series models, such as neural networks, fuzzy logic, adaptive prediction, autoregressive-moving average models, group method of data handling, singular spectral decomposition were constructed. To fully assess the suitability of a model to forecast a particular series, it is important to evaluate the model on several parameters, namely, the accuracy of the built predictions, the complexity of mathematical calculations and the adequacy of the results. Setting aside a certain criterion may lead to loss of quality of forecasting regarding the future behavior of the process. Insufficiently accurate models will give too high value of forecast error. Ignoring the complexity of a model can lead to the use of excessive number of parameters or the choice of models with an unreasonably complex architecture. The adequacy of the model explains how well the model describes the investigated process. The procedure developed by the authors allows taking into account all of the above-mentioned factors. Accuracy is measured by calculating the values of sum square and absolute error predictions. The complexity of the model is estimated using information quality criteria. Adequacy is determined by calculating the value of the adjusted determination coefficient, conducting Fisher test and analyzing the residues. The offered algorithm allows carrying out the analysis of efficiency of the constructed forecasting models. The results of his work can be used both for the direct forecasting of the values of future levels of a series, and for further studies in the field of analysis of time series. Preliminary step when constructing ensembles of prediction models or identifying emissions in a time sequence may be an example.
Authors and Affiliations
А. О. Dolhikh, O. G. Baibuz
Keywords
Related Articles
- EP ID EP622615
- DOI -
- Views 130
- Downloads 0
Developing of an automated information management system for light industry enterprises on an example of garment production
The article describes the automated information management system of the light industry enterprise, which deals with sewing of goods. It analyzed the demand for manufacturing of Ukrainian production and competitiveness o...
The development of a technological complex in deposits of dimension facing stone
One of the main problems in the Ukrainian dimension stone sector is the distribution problem. A typical quarry exploits up to 1000–1500 m3/y of trade blocks. Thus, it is very difficult to perform a standard foreign order...
Study of trends in the trucking market in modern conditions
The article analyzes the features of the transport services market in accordance with its segmentation from the position of statistics on the field of automotive freight. The tendencies of development dynamics and road t...
Investigation of the effect of excess air on the process of baking carbon products in an «under fire» chamber
Qualitative management of the process of baking carbon products by changing the parameters of the technological routine allows achieving a lower output of defective products. The study of the main stages of the baking pr...
Mechanism of enterprise’s intellectual capital management
The article researches the features of intellectual capital as the object of management and presents the basic principles of its management in an enterprise. It summarizes the existing mechanisms of organizational manage...