Kalman filter and SVR combinations in forecasting US unemployment

Sermpinis, G. , Stasinakis, C. and Karathanasopoulos, A. (2013) Kalman filter and SVR combinations in forecasting US unemployment. Artificial Intelligence Applications and Innovations, 412, pp. 506-515. (doi: 10.1007/978-3-642-41142-7_51)

Abstract

The motivation for this paper is to investigate the efficiency of a Neural Network (NN) architecture, the Psi Sigma Network (PSN), in forecasting US unemployment and compare the utility of Kalman Filter and Support Vector Regression (SVR) in combining NN forecasts. An Autoregressive Moving Average model (ARMA) and two different NN architectures, a Multi-Layer Perceptron (MLP) and a Recurrent Network (RNN), are used as benchmarks. The statistical performance of our models is estimated throughout the period of 1972-2012, using the last seven years for out-of-sample testing. The results show that the PSN statistically outperforms all models’ individual performances. Both forecast combination approaches improve the statistical accuracy, but SVR outperforms substantially the Kalman Filter.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Stasinakis, Professor Charalampos and Sermpinis, Professor Georgios
• Authors: Sermpinis, G., Stasinakis, C., and Karathanasopoulos, A.
• College/School: College of Social Sciences > Adam Smith Business School > Economics
• Journal Name: Artificial Intelligence Applications and Innovations
• ISSN: 1868-4238