Echoed time series predictions, neural networks and genetic algorithms

Abstract This work aims to illustrate a potentially serious and previously unrecognised problem in using Neural Networks (NNs), and possibly other techniques, to predict Time Series (TS). It also demonstrates how a new training scheme using a genetic algorithm can alleviate this problem. Although it is already established that NNs can predict TS such as Sunspot Number (SSN) with reasonable success, the accuracy of these predictions is often judged solely by an RMS or related error. The use of this type of error overlooks the presence of what we have termed echoing, where the NN outputs its most recent input as its prediction. Therefore, a method of detecting echoed predictions is introduced, called time-shifting. Reasons for the presence of echo are discussed and then related to the choice of TS sampling. Finally, a new specially designed training scheme is described, which is a hybrid of a genetic algorithm search and back propagation. With this method we have successfully trained NNs to predict without any echo.