An enhanced hybrid method for time series prediction using linear and neural network models

Abstract

The need for improving the accuracy of time series prediction has motivated researchers to develop more efficient prediction models. The accuracy rates resulting from linear models such as linear regression (LR), exponential smoothing (ES) and autoregressive integrated moving average (ARIMA) are not high as they are poor in handling the nonlinear time series data. Neural network models are considered to be better in handling such nonlinear time series data. In the real-world problems, the time series data consist of complex linear and nonlinear patterns and it may be difficult to obtain high prediction accuracy rates using only linear or neural network models. Hybrid models which combine both linear and neural network models can be used to obtain high prediction accuracy rates. In this paper, we propose an enhanced hybrid model which indicates for a given input data which choice is better between the two options, namely, a linear-nonlinear combination or a nonlinear-linear combination. The appropriate combination is selected based on a linearity test of data. From the experimental results, it is found that the proposed hybrid model comprising linear-nonlinear combination performs better than other models for the data that have a linear relationship. On the contrary, the hybrid model comprising nonlinear-linear combination performs better than other models for the data that have a nonlinear relationship.