Abstract
The forecast performance of alternative artificial neural network (ANN) models was studied to compare their forecast accuracy to the fractionally integrated autoregressive moving average model using monthly rainfall data for the Canadian province of Prince Edward Island (PEI). A multilayer feed-forward back-propagation ANN algorithm is implemented to evaluate the forecast accuracy and to analyse the statistical characteristics of the ANN model for original data and for data pre-processed with moving average and exponential smoothing transformations. The prediction performance of these models is compared to that of a seasonal autoregressive fractionally integrated moving average time series model. The statistical results show that the ANN model with exponential smoothing of the data has the smallest root mean square error and the highest correlation coefficient and thus, outperforms the alternative models investigated in this study.
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