Combining seasonal ARIMA models with computational intelligence techniques for time series forecasting

摘要

Seasonal autoregressive integrated moving average (SARIMA) models form one of the most popular and widely used seasonal time series models over the past three decades. However, in several researches it has been argued that they have two basic limitations that detract from their popularity for seasonal time series forecasting tasks. SARIMA models assume that future values of a time series have a linear relationship with current and past values as well as with white noise; therefore, approximations by SARIMA models may not be adequate for complex nonlinear problems. In addition, SARIMA models require a large amount of historical data to produce desired results. However, in real situations, due to uncertainty resulting from the integral environment and rapid development of new technology, future situations must be forecasted using small data sets over a short span of time. Using hybrid models or combining several models has become a common practice to overcome the limitations of single models and improve forecasting accuracy. In this paper, a new hybrid model, which combines the seasonal autoregressive integrated moving average (SARIMA) and computational intelligence techniques such as artificial neural networks and fuzzy models for seasonal time series forecasting is proposed. In the proposed model, these two techniques are applied to simultaneously overcome the linear and data limitations of SARIMA models and yield more accurate results. Empirical results of forecasting two well-known seasonal time series data sets indicate that the proposed model exhibits effectively improved forecasting accuracy, so that it can be used as an appropriate seasonal time series model.