An Evaluation of Neural Network Ensembles and Model Selection for Time Series Prediction

Barrow, Devon K. and Crone, Sven F. and Kourentzes, Nikolaos (2010) An Evaluation of Neural Network Ensembles and Model Selection for Time Series Prediction. In: The 2010 International Joint Conference on Neural Networks (IJCNN). IEEE, New York, pp. 1-8. ISBN 978-1-4244-6917-8

Abstract

Ensemble methods represent an approach to combine a set of models, each capable of solving a given task, but which together produce a composite global model whose accuracy and robustness exceeds that of the individual models. Ensembles of neural networks have traditionally been applied to machine learning and pattern recognition but more recently have been applied to forecasting of time series data. Several methods have been developed to produce neural network ensembles ranging from taking a simple average of individual model outputs to more complex methods such as bagging and boosting. Which ensemble method is best; what factors affect ensemble performance, under what data conditions are ensembles most useful and when is it beneficial to use ensembles over model selection are a few questions which remain unanswered. In this paper we present some initial findings using neural network ensembles based on the mean and median applied to forecast synthetic time series data. We vary factors such as the number of models included in the ensemble and how the models are selected, whether randomly or based on performance. We compare the performance of different ensembles to model selection and present the results.