Configuration of neural networks for the analysis of seasonal time series

Abstract

Time series often exhibit periodical patterns that can be analysed by conventional statistical techniques. These techniques rely upon an appropriate choice of model parameters that are often difficult to determine. Whilst neural networks also require an appropriate parameter configuration, they offer a way in which non-linear patterns may be modelled. However, evidence from a limited number of experiments has been used to argue that periodical patterns cannot be modelled using such networks. In this paper, we present a method to overcome the perceived limitations of this approach by determining the configuration parameters of a time delayed neural network from the seasonal data it is being used to model. Our method uses a fast Fourier transform to calculate the number of input tapped delays, with results demonstrating improved performance as compared to that of other linear and hybrid seasonal modelling techniques. © Springer-Verlag Berlin Heidelberg 2005.