A New Predictive Algorithm for Time Series Forecasting Based on Machine Learning Techniques: Evidence for Decision Making in Agriculture and Tourism Sectors

Juan D. Borrero (), Jesús Mariscal and Alfonso Vargas-Sánchez
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Juan D. Borrero: Agricultural Economics Research Group, Department of Management and Marketing, University of Huelva, Pza. de la Merced s/n, 21002 Huelva, Spain
Jesús Mariscal: Agricultural Economics Research Group, Department of Management and Marketing, University of Huelva, Pza. de la Merced s/n, 21002 Huelva, Spain
Alfonso Vargas-Sánchez: Department of Management and Marketing, University of Huelva, Pza. de la Merced s/n, 21002 Huelva, Spain

Stats, 2022, vol. 5, issue 4, 1-14

Abstract: Accurate time series prediction techniques are becoming fundamental to modern decision support systems. As massive data processing develops in its practicality, machine learning (ML) techniques applied to time series can automate and improve prediction models. The radical novelty of this paper is the development of a hybrid model that combines a new approach to the classical Kalman filter with machine learning techniques, i.e., support vector regression (SVR) and nonlinear autoregressive (NAR) neural networks, to improve the performance of existing predictive models. The proposed hybrid model uses, on the one hand, an improved Kalman filter method that eliminates the convergence problems of time series data with large error variance and, on the other hand, an ML algorithm as a correction factor to predict the model error. The results reveal that our hybrid models obtain accurate predictions, substantially reducing the root mean square and absolute mean errors compared to the classical and alternative Kalman filter models and achieving a goodness of fit greater than 0.95. Furthermore, the generalization of this algorithm was confirmed by its validation in two different scenarios.

Keywords: Kalman filter; nonlinear autoregressive neural networks; support vector regression model; time series prediction (search for similar items in EconPapers)
JEL-codes: C1 C10 C11 C14 C15 C16 (search for similar items in EconPapers)
Date: 2022
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