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GMDH

This package provides functions for short term time series forecasting using Group Method of Data Handling (GMDH)-type neural network algorithms. The fcast function forecasts a univariate time series by generating point and prediction interval forecasts. It allows specifying the forecasting method, number of inputs/layers, transfer functions, and other hyperparameters. The package also includes a cancer dataset example for implementation.

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Muneesh Bajpai
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32 views5 pages

GMDH

This package provides functions for short term time series forecasting using Group Method of Data Handling (GMDH)-type neural network algorithms. The fcast function forecasts a univariate time series by generating point and prediction interval forecasts. It allows specifying the forecasting method, number of inputs/layers, transfer functions, and other hyperparameters. The package also includes a cancer dataset example for implementation.

Uploaded by

Muneesh Bajpai
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Package ‘GMDH’

May 5, 2016
Type Package
Title Short Term Forecasting via GMDH-Type Neural Network Algorithms
Version 1.5
Date 2016-05-05
Depends R (>= 3.1.2)
Imports MASS, stats, utils
Author Osman Dag, Ceylan Yozgatligil
Maintainer Osman Dag <[email protected]>
Description
Group method of data handling (GMDH) - type neural network algorithm is the heuristic self-
organization method for modelling the complex systems. In this package, GMDH-type neu-
ral network algorithms are applied to make short term forecasting for a univariate time series.
License GPL (>= 2)
NeedsCompilation no
Repository CRAN
Date/Publication 2016-05-05 01:48:45

R topics documented:
GMDH-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
cancer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
fcast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

Index 5

1
2 cancer

GMDH-package Short Term Forecasting via GMDH-Type Neural Network Algorithms

Description
Package GMDH includes a function for short term forecasting of a univariate time series by using
GMDH-type neural network algorithms, and a dataset for implementation.

Details

Package: GMDH
Type: Package
Version: 1.5
Date: 2016-05-05
License: GPL (>=2)

cancer Cancer Data

Description
Yearly cancer death rate (per 100,000 population) of Pennsylvania between 1930 and 2000.

Usage
data(cancer)

Format
A time series with 71 observations on the following variable.
cancer a time series for yearly cancer death rate

References
Wei, W. W.S. (2006). Time Series Analysis: Univariate and Multivariate Methods (2nd ed.) Boston:
Addison-Wesley.

Examples
data(cancer)
plot(cancer)
out = fcast(cancer, f.number = 2)
out$mean
fcast 3

fcast A Function to Make Short Term Forecasting via GMDH-Type Neural


Network Algorithms

Description
fcast forecasts time series via GMDH-type neural network algorithms.

Usage
fcast(data, method = "GMDH", input = 4, layer = 3, f.number = 5, level = 95,
tf = "all", weight = 0.7,lambda = c(0,0.01,0.02,0.04,0.08,0.16,0.32,0.64,
1.28,2.56,5.12,10.24))

Arguments
data is a univariate time series of class ts
method expects a character string to choose the desired method to forecast time series.
To utilize GMDH-type neural network in forecasting, method is set to "GMDH".
One should set method to "RGMDH" for forecasting via Revised GMDH-type
neural network. Default is set to "GMDH"
input is the number of inputs. Defaults input = 4
layer is the number of layers. Default is set to layer = 3
f.number is the number of observations to be forecasted. Defaults f.number = 5
level confidence level for prediction interval. Default is set to 95
tf expects a character string to choose the desired transfer function to be used in
forecasting. To use polynomial function, tf should be set to "polynomial". Simi-
larly, tf should be set to "sigmoid", "RBF", "tangent" to utilize sigmoid function,
radial basis function and tangent function, respectively. To use all functions si-
multaneously, default is set to "all"
weight is the percent of the data set to be utilized as learning set to estimate regulariza-
tion parameter via cross validation. Default is set to weight = 0.70
lambda is a vector which includes the sequence of feasible regularization parameters.
Defaults lambda=c(0,0.01,0.02,0.04,0.08,0.16,0.32,0.64,1.28,2.56,5.12,10.24)

Value
Returns a list containing following elements:
method the forecasting method as a character string
mean point forecasts as a time series
lower lower limits for prediction interval
upper upper limits for prediction interval
level confidence level for prediction interval
4 fcast

x the original time series


fitted the fitted values
residuals the residuals of the model. The residuals are x minus the fitted values

Author(s)
Osman Dag, Ceylan Yozgatligil

References
Dag, O., Yozgatligil, C. (2016). GMDH: An R Package for Short Term Forecasting via GMDH-
Type Neural Network Algorithms. Submitted.
Ivakhnenko, A. G. (1966). Group Method of Data Handling - A Rival of the Method of Stochastic
Approximation. Soviet Automatic Control, 13, 43-71.
Kondo, T., Ueno, J. (2006). Revised GMDH-Type Neural Network Algorithm With A Feedback
Loop Identifying Sigmoid Function Neural Network. International Journal of Innovative Comput-
ing, Information and Control, 2:5, 985-996.

Examples
data = ts(rnorm(100, 10, 1))
out = fcast(data)
out

data = ts(rnorm(100, 10, 1))


out = fcast(data, input = 6, layer = 2, f.number = 1)
out$mean
out$fitted
out$residuals
plot(out$residuals)
hist(out$residuals)
Index

∗Topic datasets
cancer, 2
∗Topic functions
fcast, 3

cancer, 2

fcast, 3

GMDH-package, 2

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