Strategies for time series forecasting with generalized regression neural networks

Abstract

This paper discusses how to forecast time series using generalized regression neural networks. The main goal is to take advantage of their inherent properties to generate fast, highly accurate forecasts. To this end, the key modeling decisions involved in forecasting with generalized regression neural networks are described. To deal with every modeling decision, several strategies are proposed. Each strategy is analyzed in terms of forecast accuracy and computational time. Apart from the modeling decisions, any successful time series forecasting methodology has to be able to capture the seasonal and trend patterns found in a time series. In this regard, some clever techniques to cope with these patterns are also suggested. The proposed methodology is able to forecast time series in an automatic way. Additionally, the paper introduces a publicly available R package that incorporates the best presented modeling approaches and transformations to forecast time series with generalized regression neural networks.