Zhang, G. Peter Time series forecasting using a hybrid ARIMA and neural network model. (English) Zbl 1006.68828 Neurocomputing 50, 159-175 (2003). Summary: Autoregressive integrated moving average (ARIMA) is one of the popular linear models in time series forecasting during the past three decades. Recent research activities in forecasting with artificial neural networks (ANNs) suggest that ANNs can be a promising alternative to the traditional linear methods. ARIMA models and ANNs are often compared with mixed conclusions in terms of the superiority in forecasting performance. In this paper, a hybrid methodology that combines both ARIMA and ANN models is proposed to take advantage of the unique strength of ARIMA and ANN models in linear and nonlinear modeling. Experimental results with real data sets indicate that the combined model can be an effective way to improve forecasting accuracy achieved by either of the models used separately. Cited in 69 Documents MSC: 68U99 Computing methodologies and applications 68T05 Learning and adaptive systems in artificial intelligence Keywords:ARIMA; Box-Jenkins methodology; artificial neural networks; time series forecasting; combined forecast PDFBibTeX XMLCite \textit{G. P. Zhang}, Neurocomputing 50, 159--175 (2003; Zbl 1006.68828) Full Text: DOI