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MLP, Gaussian Processes and Negative Correlation Learning for Time Series Prediction

  • Waleed M. Azmy
  • Neamat El Gayar
  • Amir F. Atiya
  • Hisham El-Shishiny
Part of the Lecture Notes in Computer Science book series (LNCS, volume 5519)

Abstract

Time series forecasting is a challenging problem, that has a wide variety of application domains such as in engineering, environment, finance and others. When confronted with a time series forecasting application, typically a number of different forecasting models are tested and the best one is considered. Alternatively, instead of choosing the single best method, a wiser action could be to choose a group of the best models and then to combine their forecasts. In this study we propose a combined model consisting of Multi-layer perceptron (MLP), Gaussian Processes Regression (GPR) and a Negative Correlation Learning (NCL) model. The MLP and the GPR were the top performers in a previous large scale comparative study. On the other hand, NCL suggests an alternative way for building accurate and diverse ensembles. No studies have reported on the performance of the NCL in time series prediction. In this work we test the efficiency of NCL in predicting time series data. Results on two real data sets show that the NCL is a good candidate model for forecasting time series. In addition, the study also shows that the combined MLP/GPR/NCL model outperforms all models under consideration.

Keywords

Time series prediction Negative Correlation Learning MLP Gaussian Processes NN3 data diversity Wilcoxon 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Waleed M. Azmy
    • 1
  • Neamat El Gayar
    • 1
    • 2
  • Amir F. Atiya
    • 3
  • Hisham El-Shishiny
    • 4
  1. 1.Faculty of Computers and InformationCairo UniversityGizaEgypt
  2. 2.Center of Informatics ScienceNile UniversityGizaEgypt
  3. 3.Faculty of EngineeringCairo UniversityGizaEgypt
  4. 4.IBM Center of Advanced Studies in CairoIBM Cairo Technology Development CenterGizaEgypt

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