Forecasting seasonal time series using weighted gradient RBF network based autoregressive model

Ruan, Wenjie and Sheng, Quan Z. and Xu, Peipei and Tran, Nguyen Khoi and Falkner, Nickolas J.G. and Li, Xue and Zhang, Wei Emma (2016) Forecasting seasonal time series using weighted gradient RBF network based autoregressive model. In: CIKM 2016 - Proceedings of the 2016 ACM Conference on Information and Knowledge Management. Association for Computing Machinery (ACM), USA, pp. 2021-2024. ISBN 9781450340731

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Abstract

How to accurately forecast seasonal time series is very important for many business area such as marketing decision, planning production and profit estimation. In this paper, we propose a weighted gradient Radial Basis Function Network based AutoRegressive (WGRBF-AR) model for modeling and predicting the nonlinear and non-stationary seasonal time series. This WGRBF-AR model is a synthesis of the weighted gradient RBF network and the functional-coefficient autoregressive (FAR) model through using the WGRBF networks to approximate varying coefficients of FAR model. It not only takes the advantages of the FAR model in nonlinear dynamics description but also inherits the capability of the WGRBF network to deal with non-stationarity. We test our model using ten-years retail sales data on five different commodity in US. The results demonstrate that the proposed WGRBF-AR model can achieve competitive prediction accuracy compared with the state-of-the-art.

Item Type:
Contribution in Book/Report/Proceedings
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800
Subjects:
ID Code:
134230
Deposited By:
Deposited On:
22 Jun 2019 00:59
Refereed?:
Yes
Published?:
Published
Last Modified:
10 Jun 2020 23:16