A Connectionist Approach To Time Series Prediction: An Empirical Test, Ramesh Sharda & Rajendra B

Rather than use historical data such as stock prices, the authors chose to use "generic" time-series data from, "the famous M-Competition." One hundred eleven sets were analyzed using various combinations of network architecture, learning rate, and momentum. The Box-Jenkins approach to time series forecasting is explained. For purposes of this experiment, the expert system, "AUTOBOX," was used to apply the Box-Jenkins model. The neural network is explained and applied to the data using the various settings. MAPE (Mean Absolute Percent Error) and Me-APE (Median Absolute Percent Error) are used to measure the success of both methods.