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Network Based Fusion of Global and Local Information in Time Series Prediction with the Use of Soft-Computing Techniques
Abstract
Forecasting data from a time series is to make predictions for the future from available data. Thus, such a problem can be viewed as a traditional data mining problem because it is to extract rules for prediction from available data. There are two kinds of forecasting approaches. Most traditional forecasting approaches are based on all available data including the nearest data and far away data with respect to the time. These approaches are referred to as the global prediction scheme in our study. On the other hand, there also exist some prediction approaches that only construct their prediction model based on the most recent data. Such approaches are referred to as the local prediction schemes. Those local prediction approaches seem to have good prediction ability in some cases but due to their local characteristics, they usually fail in general for long term prediction. In this chapter, the authors shall detail those ideas and use several commonly used models, especially those model free estimators, such as neural networks, fuzzy systems, grey systems, etc., to explain their effects. Another issues discussed in the chapter is about multi-step predictions. From the author’s study, it can be found that those often-used global prediction schemes can have fair performance in both one-step-ahead predictions and multi-step predictions. On the other hand, good local prediction schemes can have better performance in the one-step-ahead prediction when compared to those global prediction schemes, but usually have awful performance for multi-step predictions. In this chapter, the authors shall introduce several approaches of combining local and global prediction results to improve the prediction performance.
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