What is it about?

Although artificial neural networks have recently gained importance in time series applications, some methodological shortcomings still continue to exist. One of these shortcomings is the selection of the final neural network model to be used to evaluate its performance in test set among many neural networks. The general way to overcome this problem is to divide data sets into training, validation, and test sets and also to select a neural network model that provides the smallest error value in the validation set. However, it is likely that the selected neural network model would be overfitting the validation data. This paper proposes a new model selection strategy (IHTS) for forecasting with neural networks. The proposed selection strategy first determines the numbers of input and hidden units, and then, selects a neural network model from various trials caused by different initial weights by considering validation and training performances of each neural network model. It is observed that the proposed selection strategy improves the performance of the neural networks statistically as compared with the classic model selection method in the simulated and real data sets. Also, it exhibits some robustness against the size of the validation data.

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Why is it important?

The proposed selection strategy (Input, Hidden, and Trial Selection – IHTS) is based on the findings obtained by previously conducted studies in which the input units were deemed more important than the hidden units in the performance of neural networks.

Perspectives

This study shows that it is possible for neural networks to exert superiority over the ARIMA model by improving one of its problem areas. Further, when dealing with small validation set sizes, the IHTS method enables the researcher to select better neural networks due to its property of being more robust against validation sizes compared with the classic method.

İpek Deveci Kocakoç
Dokuz Eylul Universitesi

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This page is a summary of: A new model selection strategy in time series forecasting with artificial neural networks: IHTS, Neurocomputing, January 2016, Elsevier, DOI: 10.1016/j.neucom.2015.10.036.
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