Short and Long-Term Time Series Forecasting Stochastic Analysis for Slow Dynamic Processes

• 作者: Carlos Salas Cristian Rodriguez Rivero Gustavo Alasino Julián Pucheta Martín Herrera
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: STOCHASTIC Analysis Time Series Forecasting DECISION MAKING Dynamic PROCESS PROCESS Modelling
• 年，卷（期）: yysxyw_2019,（8）
• 页码范围: 704-717
• 页数: 14页
• 分类号: O1

摘要

This paper intends to develop suitable methods to provide likely scenarios in order to support decision making for slow dynamic processes such as the underlying of agribusiness. A new method to analyze the short- and long-term time series forecast and to model the behavior of the underlying process using nonlinear artificial neural networks (ANN) is presented. The algorithm can effectively forecast the time-series data by stochastic analysis (Monte Carlo) of its future behavior using fractional Gaussian noise (fGn). The algorithm was used to forecast country risk time series for several countries, both for short term that is 30 days ahead and long term 350 days ahead scenarios.