Khorshid, Motaz and Tharwat, Assem and Bader, Amer and Omran, Ahmed (2009) The ARIMA versus Artificial Neural Network Modeling. IJCI. International Journal of Computers and Information, 2 (1). pp. 30-40. ISSN 1687-7853
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Abstract
Linear models almost reach their limitations with non-linearity in the data. This paper provides a new empirical evidence on the relative macroeconomic forecasting performance of linear and nonlinear models. The well established
and widely used univariate Auto-Regressive Integrated Moving Average (ARIMA) models are used as linear forecasting models whereas Artificial Neural Networks (ANN) are used as nonlinear forecasting models. The neural network paradigm that was selected for developing the proposed model is a Multi-layer Feedforward network based upon the Backpropagation training algorithm. ANN has been proven to be successful in handling nonlinear problem optimization and prediction. The forecasting models used to identify whether action is needed to alter the future, when such action should be taken by the decision maker in order to change the future of the bank or its environment to improve the bank's chance of achieving its targets. We applied the proposed model on a Financial Balance Sheet’s data of a commercial bank in Egypt. The Results show that, the proposed model (which dependent on the ANN) is more accurate than the other models, which depend on the ARIMA model with accuracy between 8 % and 10.4 %.
Item Type: | Article |
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Subjects: | Open Research Librarians > Computer Science |
Depositing User: | Unnamed user with email support@open.researchlibrarians.com |
Date Deposited: | 14 Oct 2023 05:34 |
Last Modified: | 14 Oct 2023 05:34 |
URI: | http://stm.e4journal.com/id/eprint/1461 |