Tools for non-linear time series forecasting in economics - An empirical comparison of regime switching vector autoregressive models and recurrent neural networks

被引:12
作者
Binner, JM
Elger, T
Nilsson, B
Tepper, JA
机构
[1] Aston Univ, Aston Business Sch, Dept Strateg Management, Birmingham B4 7ET, W Midlands, England
[2] Lund Univ, Dept Econ, S-22100 Lund, Sweden
[3] Nottingham Trent Univ, Fac Construct, Sch Comp & Technol, Nottingham, England
来源
APPLICATIONS OF ARTIFICIAL INTELLIGENCE IN FINANCE AND ECONOMICS | 2004年 / 19卷
关键词
D O I
10.1016/S0731-9053(04)19003-8
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is U.K. inflation and we utilize monthly data from 1969 to 2003. The RS-VAR and the RNN perform approximately on par over both monthly and annual forecast horizons. Both non-linear models perform significantly better than the VAR model.
引用
收藏
页码:71 / 91
页数:21
相关论文
共 52 条
[1]   International asset allocation with regime shifts [J].
Ang, A ;
Bekaert, G .
REVIEW OF FINANCIAL STUDIES, 2002, 15 (04) :1137-1187
[2]  
[Anonymous], 1996, Monte Carlo Concepts, Algorithms and Applications
[3]  
Binner J. M., 2002, EUROPEAN J FINANCE, V8, P238, DOI 10.1080/13518470110071173
[4]  
BLIX M, 1999, 76 SVER RIKSB
[5]  
Chappelier J.C., 2000, SEQUENCE LEARNING PA, P105
[6]   NEURAL NETWORKS - A REVIEW FROM A STATISTICAL PERSPECTIVE [J].
CHENG, B ;
TITTERINGTON, DM .
STATISTICAL SCIENCE, 1994, 9 (01) :2-30
[7]   RECURRENT NEURAL NETWORKS AND ROBUST TIME-SERIES PREDICTION [J].
CONNOR, JT ;
MARTIN, RD ;
ATLAS, LE .
IEEE TRANSACTIONS ON NEURAL NETWORKS, 1994, 5 (02) :240-254
[8]   MINIMIZING MULTIMODAL FUNCTIONS OF CONTINUOUS-VARIABLES WITH THE SIMULATED ANNEALING ALGORITHM [J].
CORANA, A ;
MARCHESI, M ;
MARTINI, C ;
RIDELLA, S .
ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE, 1987, 13 (03) :262-280
[9]  
Cybenko G., 1989, Mathematics of Control, Signals, and Systems, V2, P303, DOI 10.1007/BF02551274
[10]  
DARKEN C, 1991, ADV NEURAL INFORMATI, V3, P832