This paper has discussed the possibility and key problem to construct the neural network time series model, and three time series neural network forecasting methods has been proposed, i. e. a neural network nonlinear time series model, a neural network multi-dimension time series model and a neural network combining predictive model. These three methods are applied to real problems. The results show that these methods are better than the traditional one. Furthermore, the neural network methods are compared with the traditional method, and the constructed model of intellectual information forecasting system is given.
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