Application of Heuristic Rules and Genetic Algorithm in ARMA Model Estimation for Time Series Prediction
The first step of forecasting time series is to build an appropriate model. Determining orders and estimation of ARMA model parameters is a challenging field in traditional statistical and intelligent methods. In this paper, genetic algorithm is used for parameter estimation and heuristic rules are...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2016-03-01
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| Series: | Journal of Information Technology Management |
| Subjects: | |
| Online Access: | https://jitm.ut.ac.ir/article_55761_c834d3d6cfe322297c5434d754f6b6af.pdf |
| _version_ | 1818207743150915584 |
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| author | Mohammadreza Asghari Oskoei Mohammad Ghasemmzade |
| author_facet | Mohammadreza Asghari Oskoei Mohammad Ghasemmzade |
| author_sort | Mohammadreza Asghari Oskoei |
| collection | DOAJ |
| description | The first step of forecasting time series is to build an appropriate model. Determining orders and estimation of ARMA model parameters is a challenging field in traditional statistical and intelligent methods. In this paper, genetic algorithm is used for parameter estimation and heuristic rules are used to determine orders of ARMA model. Heuristic rules are extracted according to time series properties. The data are selected using sliding time window. Model identification is carried out by using Bayesian information criterion (BIC). The mean squares error and the mean absolute percentage error are used to evaluate the results of prediction. The proposed method was applied to eight time series in different types, and the results were compared with results of statistical methods. The achieved result shows equivalent or superior performance for the proposed method in comparison with the classic method. |
| first_indexed | 2024-12-12T04:33:46Z |
| format | Article |
| id | doaj.art-7ce133b00efe4fb798e093b30a9030c7 |
| institution | Directory Open Access Journal |
| issn | 2008-5893 2423-5059 |
| language | fas |
| last_indexed | 2024-12-12T04:33:46Z |
| publishDate | 2016-03-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | Journal of Information Technology Management |
| spelling | doaj.art-7ce133b00efe4fb798e093b30a9030c72022-12-22T00:38:01ZfasUniversity of TehranJournal of Information Technology Management2008-58932423-50592016-03-018112610.22059/jitm.2016.5576155761Application of Heuristic Rules and Genetic Algorithm in ARMA Model Estimation for Time Series PredictionMohammadreza Asghari Oskoei0Mohammad Ghasemmzade1Assistant Prof./ Allameh Tabataba'i Universitystudent/Allameh Tabataba'i UniversityThe first step of forecasting time series is to build an appropriate model. Determining orders and estimation of ARMA model parameters is a challenging field in traditional statistical and intelligent methods. In this paper, genetic algorithm is used for parameter estimation and heuristic rules are used to determine orders of ARMA model. Heuristic rules are extracted according to time series properties. The data are selected using sliding time window. Model identification is carried out by using Bayesian information criterion (BIC). The mean squares error and the mean absolute percentage error are used to evaluate the results of prediction. The proposed method was applied to eight time series in different types, and the results were compared with results of statistical methods. The achieved result shows equivalent or superior performance for the proposed method in comparison with the classic method.https://jitm.ut.ac.ir/article_55761_c834d3d6cfe322297c5434d754f6b6af.pdfARMA model estimationgenetic algorithmheuristic rulestime series prediction |
| spellingShingle | Mohammadreza Asghari Oskoei Mohammad Ghasemmzade Application of Heuristic Rules and Genetic Algorithm in ARMA Model Estimation for Time Series Prediction Journal of Information Technology Management ARMA model estimation genetic algorithm heuristic rules time series prediction |
| title | Application of Heuristic Rules and Genetic Algorithm in ARMA Model Estimation for Time Series Prediction |
| title_full | Application of Heuristic Rules and Genetic Algorithm in ARMA Model Estimation for Time Series Prediction |
| title_fullStr | Application of Heuristic Rules and Genetic Algorithm in ARMA Model Estimation for Time Series Prediction |
| title_full_unstemmed | Application of Heuristic Rules and Genetic Algorithm in ARMA Model Estimation for Time Series Prediction |
| title_short | Application of Heuristic Rules and Genetic Algorithm in ARMA Model Estimation for Time Series Prediction |
| title_sort | application of heuristic rules and genetic algorithm in arma model estimation for time series prediction |
| topic | ARMA model estimation genetic algorithm heuristic rules time series prediction |
| url | https://jitm.ut.ac.ir/article_55761_c834d3d6cfe322297c5434d754f6b6af.pdf |
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