A semi-heterogeneous approach to combining crude oil price forecasts
文献类型：期刊论文
| 作者 | Wang, Jue1,2 ; Li, Xiang1,2; Hong, Tao3; Wang, Shouyang1,2
|
| 刊名 | INFORMATION SCIENCES
 |
| 出版日期 | 2018-09-01 |
| 卷号 | 460页码:279-292 |
| 关键词 | Crude oil price Decomposition and reconstruction Forecast combination Model selection |
| ISSN号 | 0020-0255 |
| DOI | 10.1016/j.ins.2018.05.026 |
| 英文摘要 | Crude oil price forecasting has received increased attentions due to its significant role in the global economy. Accurate crude oil price forecasts often lead to a rapid new production development with higher quality and less cost. Making such accurate forecasts, however, is challenging due to the intrinsic complexity of oil market mechanism. Many techniques have been tested in the crude oil price forecasting literature. Although forecast combination is a well-known method to improve forecast accuracy, generating forecasts using various techniques tend to be labor intensive. How to efficiently generate many individual forecasts for combination becomes a research question in crude oil price forecasting. Recently, several signal decomposition methods have been suggested for processing the oil price signals. In this paper, we propose a semi-heterogeneous approach to combining crude oil price forecasts, which interacts a set of decomposition methods with a set of forecasting techniques. We first decompose the original price series using four decomposition methods, such as Wavelet Analysis, Singular Spectral Analysis, Empirical Mode Decomposition, and Variational Mode Decomposition. We then use four different forecasting techniques, such as Autoregressive Models, Autoregressive Integrated Moving Average Models, Artificial Neural Networks, and Support Vector Regression Models, to forecast the components from each decomposition methods. Finally, we reconstruct the price forecasts from the forecasted components. This process generates 16 price forecasts in total for combination. We test the combination based on all individual forecasts, as well as a subset of the individual forecasts selected using Tabu Search. The experimental results demonstrate that the forecasting models with the addition of a decomposition technique can have an error reduction of 30.6% compared to benchmark models on average. The combined forecasts outperform the individual forecasts on average. Furthermore, comparing with the heterogeneous combination of 4 individual forecasts, the semi-heterogeneous combinations reduce the errors by 56.6% (w/o Tabu Search) and 61.6% (w/ Tabu Search). (C) 2018 Elsevier Inc. All rights reserved. |
| 资助项目 | Youth Innovation Promotion Association, CAS ; National Center for Mathematics and Interdisciplinary Sciences (NCMIS), CAS ; National Natural Science Foundation of China (NSFC)[71771208] ; National Natural Science Foundation of China (NSFC)[71271202] |
| WOS研究方向 | Computer Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000441494000018 |
| 出版者 | ELSEVIER SCIENCE INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/31080]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Wang, Jue |
| 作者单位 | 1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, MDIS, CFS, Beijing 100190, Peoples R China 3.Univ N Carolina, Syst Engn & Engn Management Dept, Charlotte, NC 28223 USA |
| 推荐引用方式 GB/T 7714 | Wang, Jue,Li, Xiang,Hong, Tao,et al. A semi-heterogeneous approach to combining crude oil price forecasts[J]. INFORMATION SCIENCES,2018,460:279-292. |
| APA | Wang, Jue,Li, Xiang,Hong, Tao,&Wang, Shouyang.(2018).A semi-heterogeneous approach to combining crude oil price forecasts.INFORMATION SCIENCES,460,279-292. |
| MLA | Wang, Jue,et al."A semi-heterogeneous approach to combining crude oil price forecasts".INFORMATION SCIENCES 460(2018):279-292. |
入库方式： OAI收割
来源：数学与系统科学研究院
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