Information Granules-Based BP Neural Network for Long-Term Prediction of Time Series

Long-term time series prediction is a challenging and essential task both in theory and practice. Recently, information granulation is shown to be an appropriate tool for the long-term forecast. Though some models for the long-term prediction problem have been proposed using information granulation recently, there is still a growing need to develop new prediction approaches for time series data based on information granule, which can capture the dynamic trend change with high accuracy. In this article, a long-term prediction approach, based on back-propagation neural network and information granule, is proposed. First, the individual numerical intervals for the time series are obtained by using the principle of justifiable granularity in information granule. Then, an automatic linear trend extraction method is developed to extract the trend change, which is inherited in granules. Finally, a hierarchy of neural network is constructed to carry out prediction by using information granule as input. Experiments using publicly available time series datasets demonstrate that the proposed approach can achieve better performance than the existing models for long-term prediction.