Empirical Evaluation of the Time Series Forecasting Method by Combining ARIMA with RBFNN under the Additive Model

Time series data is a series of values observed through repeated measurements at different times. Time series data is a type of data present in almost all different fields of life. Time series prediction is an significant problem in time series data mining. Accurate forecasting is crucial to support decision making in many areas of life. Therefore, improving the precision of time series predicting is a interesting mission for experts in this field. Many models for predicting time series have been proposed from traditional time series models as Auto Regressive Integrated Moving Average (ARIMA) model to artificial neural network (ANN) models. ARIMA is a linear model therefore it can only take the linear characteristics in time series. In contrast, Radial Basis Function Neural Network (RBFNN) is a non-linear model therefore it can not predict effectively seasonal or trend changes in time series. To combine the strengths of these two models, in this study, we experimentally evaluate the hybrid method between ARIMA and RBFNN on real time series data from different fields. Experimental results demonstrate that the combined method outperforms each model used individually in terms of accuracy.