alexa Monthly sunspot number time series analysis and its modeling through autoregressive artificial neural network
Business & Management

Business & Management

Journal of Stock & Forex Trading

Author(s): Goutami Chattopadhyay, Surajit Chattopadhyay

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This study reports a statistical analysis of monthly sunspot number time series and observes non homogeneity and asymmetry within it. Using Mann-Kendall test a linear trend is revealed. After identifying stationarity within the time series we generate autoregressive AR(p) and autoregressive moving average (ARMA(p,q)). Based on minimization of AIC we find 3 and 1 as the best values of p and q respectively. In the next phase, autoregressive neural network (AR-NN(3)) is generated by training a generalized feedforward neural network (GFNN). Assessing the model performances by means of Willmott's index of second order and coefficient of determination, the performance of AR-NN(3) is identified to be better than AR(3) and ARMA(3,1).

This article was published in Physics and referenced in Journal of Stock & Forex Trading

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