Time-Series Forecasting Using Autoregression Enhanced k-Nearest Neighbors Method

doi:10.1007/s12204-013-1418-x

Abstract

Abstract: This study proposes two metrics using the nearest neighbors method to improve the accuracy of time-series forecasting. These two metrics can be treated as a hybrid forecasting approach to combine linear and non-linear forecasting techniques. One metric redefines the distance in k-nearest neighbors based on the coefficients of autoregression (AR) in time series. Meanwhile, an improvement to Kulesh’s adaptive metrics in the nearest neighbors is also presented. To evaluate the performance of the two proposed metrics, three types of time-series data, namely deterministic synthetic data, chaotic time-series data and real time-series data, are predicted. Experimental results show the superiority of the proposed AR-enhanced k-nearest neighbors methods to the traditional k-nearest neighbors metric and Kulesh’s adaptive metrics.

Key words: time series| forecasting| nearest neighbors method| autoregression (AR)| metrics

摘要： This study proposes two metrics using the nearest neighbors method to improve the accuracy of time-series forecasting. These two metrics can be treated as a hybrid forecasting approach to combine linear and non-linear forecasting techniques. One metric redefines the distance in k-nearest neighbors based on the coefficients of autoregression (AR) in time series. Meanwhile, an improvement to Kulesh’s adaptive metrics in the nearest neighbors is also presented. To evaluate the performance of the two proposed metrics, three types of time-series data, namely deterministic synthetic data, chaotic time-series data and real time-series data, are predicted. Experimental results show the superiority of the proposed AR-enhanced k-nearest neighbors methods to the traditional k-nearest neighbors metric and Kulesh’s adaptive metrics.

关键词: time series| forecasting| nearest neighbors method| autoregression (AR)| metrics

CLC Number:

TP 391.4

PAN Feng1* (潘峰), ZHAO Hai-bo2 (赵海波), LIU Hua-shan1 (刘华山). Time-Series Forecasting Using Autoregression Enhanced k-Nearest Neighbors Method[J]. Journal of shanghai Jiaotong University (Science), 2013, 18(4): 434-442.

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