TAGUCHI'S DESIGN OF EXPERIMENT IN COMBINATION SELECTION FOR A CHAOTIC TIME SERIES FORECASTING METHOD USING ENSEMBLE ARTIFICIAL NEURAL NETWORKS

Abstract

Taguchi's design of experiment, an effective approach to identify factor-level combinations, was utilized to improve the result of a proposed chaotic time series forecasting method. In the proposed method, a residual analysis using a combination of embedding theorem and ensemble neural networks was employed to forecast chaotic time series. The time series was reconstructed into proper phase space points and fed into the first neural network. The network was trained to predict the future value of phase space points and chaotic time series. The analysis of residuals of the predicted time series showed that in many events they demonstrate chaotic behaviour. The residuals were treated as a new chaotic time series and reconstructed. A new network was trained to predict the future of the residual time series. The residual analysis was repeated several times. Finally, the last network was trained using a forecast value of the original time series and residuals as input and the original time series as output. The final network was used to capture the relationship between the forecast values of the original time series and residuals and the original time series. A systematic approach is introduced using Taguchi's method to improve the combination selection of networks and their parameters. The method was applied to some real-life chaotic time series. The experimental results confirmed that the proposed method performed more effectively and accurately compared to the same method using randomized factor-level combinations and other existing forecasting methods in the literature.