Time Series Forecasting Using Ridge Polynomial Neural Network with Error Feedback

Abstract

Time series forecasting gets much attention due to its impact on many practical applications. Higher-order neural network with recurrent feedback is a powerful technique which used successfully for forecasting. It maintains fast learning and the ability to learn the dynamics of the series over time. In general, the most used recurrent feedback is the network output. However, no much attention has been paid to use network error instead of the network output. For that, in this paper, we propose a novel model which is called Ridge Polynomial Neural Network with Error Feedback (RPNN-EF) that combines the properties of higher order and error feedback recurrent neural network. Three signals have been used in this paper, namely heat wave temperature, IBM common stock closing price and Mackey–Glass equation. Simulation results show that RPNN-EF is significantly faster than other RPNN-based models for one-step ahead forecasting and its forecasting performance is more significant than these models for multi-step ahead forecasting.