Multivariate time series prediction using a hybridization of VARMA models and Bayesian networks

Hongyue Guo, Xiaodong Liu and Zhubin Sun

Journal of Applied Statistics, 2016, vol. 43, issue 16, 2897-2909

Abstract: In this paper, a new hybrid model of vector autoregressive moving average (VARMA) models and Bayesian networks is proposed to improve the forecasting performance of multivariate time series. In the proposed model, the VARMA model, which is a popular linear model in time series forecasting, is specified to capture the linear characteristics. Then the errors of the VARMA model are clustered into some trends by K-means algorithm with Krzanowski–Lai cluster validity index determining the number of trends, and a Bayesian network is built to learn the relationship between the data and the trend of its corresponding VARMA error. Finally, the estimated values of the VARMA model are compensated by the probabilities of their corresponding VARMA errors belonging to each trend, which are obtained from the Bayesian network. Compared with VARMA models, the experimental results with a simulation study and two multivariate real-world data sets indicate that the proposed model can effectively improve the prediction performance.

Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:43:y:2016:i:16:p:2897-2909

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DOI: 10.1080/02664763.2016.1155111

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