What are the effects of forecasting linear time series with neural networks
Carlos Eduardo Pedreira, Marcelo Cunha Medeiros · International journal of engineering intelligent systems for electrical engineering and communications · 2001
This paper studies the performance of neural networks estimated with Bayesian regularization to model and forecast time series where the data generating process is in fact linear. A simulation experiment is carried out to compare the forecasts made by linear autoregressive models and neural networks. Keywords: Neural networks, Bayesian regularization, nonlinear forecasting, nonlinear time series