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Interval forecasting using artificial neural networks trained with Monte Carlo Markov Chain methods

Sirlantzis, Konstantinos (1998) Interval forecasting using artificial neural networks trained with Monte Carlo Markov Chain methods. In: 18th International Symposium on Forecasting. . p. 58. International Institute of Forecasters (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

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Abstract

Recent work showed that Bayesian formulation of the neural networks' training problem provide a natural way to account for the uncertainty associated with the resulting predictions. This study employs Markov Chain Monte Carlo methods, which make possible feasible implementations within the Bayesian framework, to produce a conditional predictive distribution in time series forecasting. [t exploits the advantages of the 'mean absolute deviations' error function (as opposed to the 'mean squared error' used in backpropagation) to address the non-trivial cases where uniformity of the prediction error bounds over the state space or where the assumption of normally distributed error terms do not hold. The conditional quantiles of the predicted variable are then natural estimators of the 'prediction intervals' associated with a prespecified probability level. The length of these intervals is subsequently used to monitor the evolution of the prediction uncertainty over the state space as well as in m-step ahead predictions. To illustrate the properties of our estimators we discuss results in the following cases: (a) an AR( 1 ) model with Gaussian and non-Gaussian disturbances, (b) the logistic map (chaotic) with added Gaussian noise, and finally, (c) a real-world financial time series.

Item Type: Conference or workshop item (Paper)
Subjects: Q Science > QA Mathematics (inc Computing science) > QA 76 Software, computer programming, > QA76.87 Neural computers, neural networks
Divisions: Faculties > Sciences > School of Engineering and Digital Arts > Image and Information Engineering
Depositing User: Konstantinos Sirlantzis
Date Deposited: 14 Dec 2015 02:20 UTC
Last Modified: 29 May 2019 16:46 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/53317 (The current URI for this page, for reference purposes)
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