Operations and other business decisions often depend on accurate time-serie
Forecasts These time series usually consist of trend-cycle, seasonal, and irregular components. Existing methodologies attempt to first identify and then extrapolate
these components to produce forecasts. The proposed process partners this decomposition procedure with neural network methodologies to combine the strengths of economics, statistics, and machine learning research. Stacked
generalization first uses transformations and decomposition to pre-process a time series. Then a time-delay neural network receives the resulting components as inputs. The outputs of this neural network are then input to a backpropagation algorithm that synthesizes the processed components into a single forecast. Genetic algorithms guide the architecture selection for both the time-delay and backpropagation neural networks The empirical examples used in
this study reveal that the combination of transformation feature extraction and neural networks throughs tacked generalization gives more accurate forecasts than classical decomposition or ARIMA models. Scope and Purpose. The research
reported in this paper examines two concurrent issues. The first evaluates the
performance of neural networks in forecasting time series. The second assesses the use of stacked generalization as a way of refining this process. The methodology is applied to four economic and business time series. Those studying time
series and neural networks ,particulary in terms of combining tools from the
statistical community with neural network technology will find this paper relevant