Advanced Forecasting Techniques with Application to NN5 Time Series: New Bayesian Formulation for Holt's Exponential Smoothing and Comparison of Forecasting Combination Techniques - Softcover

Andrawis, Robert

Softcover

ISBN 10: 3659129623 ISBN 13: 9783659129629

Publisher: LAP LAMBERT Academic Publishing, 2012

Synopsis

In this book we analyze the forecasting model that achieved the first rank in the Forecasting Competition for Artificial Neural Networks & Computational Intelligence NN5. The model is based on combination of machine learning and linear models. In addition, the approach and the experiments done to develop this model are explained in details to allow the reader to learn the methodology of developing such optimal models. The book also introduces a Bayesian forecasting approach for Holt's additive exponential smoothing method. Starting from the state space formulation, a formula for the forecast is derived and reduced to a two-dimensional integration that can be computed numerically in a straightforward way. In contrast with much of the work for exponential smoothing, this method produces the forecast density as well. The combinations of forecast are investigated as well in this book. A comparison between different combination methods is introduced with complete case study on tourism demand forecasting in Egypt.

About this title

About the Author

Robert R. Andrawis, Received his B.S. and Master degree in 2006 and 2010 respectively from the Department of Computer Engineering, Cairo University, Egypt. He also worked in Egyptian Ministry of Communication, Valeo, Vodafone Egypt and Intel Egypt. He participated and obtained the first rank in the NN5 Forecasting Competition for Neural Networks.

Edition details

• Publisher: LAP LAMBERT Academic Publishing
• Publication date: 2012
• ISBN 10: 3659129623
• ISBN 13: 9783659129629
• Binding: Paperback
• Language: English
• Number of pages: 132