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A neural network approach for the Theta model

Constantinidou, Christina and Nikolopoulos, Konstantinos and Bougioukos, Nikolaos and Tsiafa, Eirini and Petropoulos, Fotios and Assimakopoulos, Vassilios (2012) A neural network approach for the Theta model. Lecture Notes in Information Technology, 25. pp. 116-120. ISSN 2070-1918

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Abstract

Classic Theta model decomposes the original data series into two separate lines, which are extrapolated separately and the forecasts are combined with equal weights. The current study explores a neural network approach to Theta model, in terms of optimizing the combination weights of the two components in the final forecast. The performance of the proposed method (Theta AI) is compared against the original method for the two subsets of the NN3 forecasting competition, which primary objective was the evaluation of methods using neural networks or artificial intelligence for time series forecasting. Results indicate that the new approach is very promising towards the generalization of the Theta model.

Item Type: Article
Journal or Publication Title: Lecture Notes in Information Technology
Uncontrolled Keywords: Time Series Forecasting ; Theta Model ; Neural Networks ; Artificial Intelligence ; Forecasting Competitions ; Theta AI
Subjects: H Social Sciences > HB Economic Theory
Departments: Lancaster University Management School > Management Science
ID Code: 59194
Deposited By: ep_importer_pure
Deposited On: 12 Oct 2012 14:47
Refereed?: Yes
Published?: Published
Last Modified: 12 Oct 2012 14:47
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/59194

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