Applied integration of time series and multi-variable regression algorithms

Öz

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.

Anahtar Kelimeler

• Exponential correction
• MARS
• multivariate adaptive regression
• stock price
• time series analysis.

Applied integration of time series and multi-variable regression algorithms

Öz

Zaman Serisi (ZS) tabanlı tahmin modelleri, belirli bir düzeyde geçmiş verilere benzer fonksiyonel dağılıma sahip, tahmine dayalı veriler üretir. Bu çalışmada, ZS algoritmasının tahmin performansını artıran yeni bir modelleme tasarlanmıştır. Yeni modellemenin temel amacı, Çok Değişkenli Uyarlamalı Regresyon Katmanları (MARSplines) algoritmasını ZS algoritmasına entegre etmektir. Beş yıllık Tokyo Menkul Kıymetler Borsası verileri, ilgili modelleri uygulamak için bir vaka çalışması olarak analiz edilmiştir. Sonuçlar, yeni regresyon temelli yaklaşımın ZS algoritmasının tahmin performansını önemli ölçüde geliştirdiğini göstermiştir. 

Anahtar Kelimeler

• Time series analysis
• multivariate adaptive regression
• stock price
• exponential correction

Kaynakça

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