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首页> 外文期刊>Mathematical Problems in Engineering: Theory, Methods and Applications >A New Approach for Forecasting Crude Oil Prices Using Median Ensemble Empirical Mode Decomposition and Group Method of Data Handling
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A New Approach for Forecasting Crude Oil Prices Using Median Ensemble Empirical Mode Decomposition and Group Method of Data Handling

机译：A New Approach for Forecasting Crude Oil Prices Using Median Ensemble Empirical Mode Decomposition and Group Method of Data Handling

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摘要

The accuracy of time series forecasting is more important and can assist organizations to take up-to-date decisions for better planning and management. Several classical econometrics and computational approaches show promising results for the ordinary time series forecasting tasks, but they are not satisfactory in crude oil price forecasting. Ensemble empirical mode decomposition (EEMD) not only resolves the problem of nonlinearity and nonstationarity of time series prediction but also creates some problems (i.e., mood mixing and splitting). In this study, we proposed a new hybrid method that combines the median ensemble empirical mode decomposition and group method of data handling (MEEMD-GMDH) to reduce mood splitting problems and forecast crude oil price. MEEMD is achieved by replacing the mean operator with the median operator during the EEMD process. For testing and validation purposes of the different models, the two-seat stamp benchmarked crude oil price data are used (i.e., Brent and West Texas Intermediate (WTI)). To check the proposed model performance, different evaluation measures are used including Root Mean Square Error (RMSE), Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), and Diebold-Mariano (DM) test. All the forecasting accuracy measures confirmed that our proposed model performs well in crude oil prices forecasting as compared to other hybrid models.

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