Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

A Study of Improving the Coherence in Multi-Step Ahead Forecasting

Authors
Chao-Fu Hong1, Yung-Sheng Liao, Mu-Hua Lin, Tsai-Hsia Hong
1Department of Information Management, Aletheia University
Corresponding Author
Chao-Fu Hong
Available Online October 2006.
DOI
10.2991/jcis.2006.152How to use a DOI?
Keywords
Chaos, Fractal, Artificial Intelligence, Evolutionary Computation
Abstract

The traditional multi-step ahead prediction is based on sequential algorithm to run multi-step ahead prediction and it brings error propagation problem. Furthermore, the prediction error of multi-step ahead includes both system and propagation errors. Therefore, how to decrease the propagation error has become an important issue in multi-step ahead prediction. In this study we had used the parallel algorithm to avoid the propagation error, but it brought a new problem: the incoherent learning method was used to learn the coherent time series, then, it brought an incoherent problem. Therefore, we proposed a novel parallel algorithm: after parallel algorithm, the system had to run the sequential algorithm again to avoid the incoherent problem. The experimental results evidence that the prediction error of the novel parallel algorithm was smaller than that of the parallel algorithm and the prediction error of multi-step ahead was the same as that of one-step ahead. These results imply that the prediction error of the novel parallel algorithm was approaching the system error. In addition the fractal based GP was used to learn the predicting function. The prediction error was as the radius of the trajectory line. Because the fractal was drawn by the pipe line, it indicates that the stock’s price time series belonged to the non-determinate chaos.

Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
Series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
10.2991/jcis.2006.152
ISSN
1951-6851
DOI
10.2991/jcis.2006.152How to use a DOI?
Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Chao-Fu Hong
AU  - Yung-Sheng Liao
AU  - Mu-Hua Lin
AU  - Tsai-Hsia Hong
PY  - 2006/10
DA  - 2006/10
TI  - A Study of Improving the Coherence in Multi-Step Ahead Forecasting
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 689
EP  - 693
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.152
DO  - 10.2991/jcis.2006.152
ID  - Hong2006/10
ER  -