A Novel Nonlinear Ensemble Forecasting Model Incorporating ARIMA and LSSVM

In order to solve the problem of complex time series forecasting including the linear and nonlinear features,a new ensemble forecasting model incorporating ARIMA and LSSVM is proposed in this paper.This ensemble model uses ARIMA model to capture the linear feature of the time series and LSSVM model to fit the nonlinear component of the time series to obtain the synergetic forecasting results by using LSSVM.The validity of the proposed model has been examined by forecasting GDP of our country.Compared with the traditional forecasting methods and the other popular ensemble forecasting method,the result of the presented method is more accurate.