Correcting and combining time series forecasters.
Combined forecasters have been in the vanguard of stochastic time series modeling. In this way it has been usual to suppose that each single model generates a residual or prediction error like a white noise. However, mostly because of disturbances not captured by each model, it is yet possible that such supposition is violated. The present paper introduces a two-step method for correcting and combining forecasting models. Firstly, the stochastic process underlying the bias of each predictive model is built according to a recursive ARIMA algorithm in order to achieve a white noise behavior. At each iteration of the algorithm the best ARIMA adjustment is determined according to a given information criterion (e.g. Akaike). Then, in the light of the corrected predictions, it is considered a maximum likelihood combined estimator. Applications involving single ARIMA and artificial neural networks models for Dow Jones Industrial Average Index, S&P500 Index, Google Stock Value, and Nasdaq Index series illustrate the usefulness of the proposed framework.
Department of Statistics and Informatics, Federal Rural University of Pernambuco, 52171-900, Recife, Pernambuco, Brazil.
Paulo Renato A
PR
Firmino
Department of Computing, University of Pernambuco, Garanhuns, Pernambuco, Brazil.
Paulo S G
PS
de Mattos Neto
Department of Statistics and Informatics, Federal Rural University of Pernambuco, 52171-900, Recife, Pernambuco, Brazil. Electronic address: taef.first@gmail.com.
Tiago A E
TA
Ferreira
D005376:Financial Management / Q000706:statistics & numerical data; D005544:Forecasting; D006801:Humans; D016013:Likelihood Functions; D016571:Neural Networks, Computer; D013269:Stochastic Processes; D013997:Time Factors
Artificial neural networks hybrid systems; Linear combination of forecasts; Maximum likelihood estimation; Time series forecasters; Unbiased forecasters