Applied integration of time series and multi-variable regression algorithms


Creative Commons License

Koyuncu F. , Yücel A.

İstatistikçiler Dergisi:İstatistik ve Aktüerya, vol.14, no.1, pp.13-25, 2021 (Other Refereed National Journals)

  • Publication Type: Article / Article
  • Volume: 14 Issue: 1
  • Publication Date: 2021
  • Title of Journal : İstatistikçiler Dergisi:İstatistik ve Aktüerya
  • Page Numbers: pp.13-25

Abstract

Time Series (TS) based prediction models generate prediction based data that is supposed to be similar to the future data at a certain level. In this study, we designed new modeling that increases the prediction performance of the TS algorithm. The main purpose of the new modeling is to integrate the Multivariate-Adaptive-Regression-Splines (MARSplines) algorithm into the TS algorithm. Five-year Tokyo Stock Exchange data is analyzed as a case study to apply the relevant models. The results show that the new regression-based approach significantly improves the prediction performance of the time series algorithm.