A Nonlinear Autoregressive Scheme for Time Series Prediction via Artificial Neural Networks

• 作者: Hayk Sargsyan Rohit Raturi
• 来源期刊: 电脑和通信(英文)
• 学科: 工学
• 关键词: NONLINEAR AUTOREGRESSION Time Series Prediction Data Analysis Deep Learning Scaled CONJUGATE Gradient METHOD Bayesian REGULARIZATION METHOD
• 年，卷（期）: 2018,（9）
• 页码范围: 14-23
• 页数: 10页
• 分类号: TP1

摘要

This article is devoted to a time series prediction scheme involving the nonlinear autoregressive algorithm and its applications. The scheme is implemented by means of an artificial neural network containing a hidden layer. As a training algorithm we use scaled conjugate gradient (SCG) method and the Bayesian regularization (BReg) method. The first method is applied to time series without noise, while the second one can also be applied for noisy datasets. We apply the suggested scheme for prediction of time series arising in oil and gas pricing using 50 and 100 past values. Results of numerical simulations are presented and discussed.