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Editorial Time series prediction competition The CATS benchmark
ARTICLE IN PRESS0925-2312/$ - se
doi:10.1016/j.neNeurocomputing 70 (2007) 2325–2329
/locate/neucomEditorial
Time series prediction competition: The CATS benchmark1. Introduction
Time series forecasting is a challenge in many fields. In
finance, one forecasts stock exchange courses or stock
market indices; data processing specialists forecast the flow
of information on their networks; producers of electricity
forecast the load of the following day. The common point
to their problems is the following: how can one analyze and
use the past to predict the future? Many techniques exist:
linear methods such as ARX, ARMA, etc. [1,7], and
nonlinear ones such as artificial neural networks [2–5,9,11].
In general, these methods try to build a model of the
process that is to be predicted. The model is then used on
the last values of the series to predict future ones. The
common difficulty to all methods is the determination of
sufficient and necessary information for a good prediction.
If the information is insufficient, the forecasting will be
poor. On the contrary, if information is useless or
redundant, modeling will be difficult or even skewed.
In parallel with this determination, a prediction model has to
be selected. In order to compare different prediction methods
several competitions have been organized, for example: The
Santa Fe Competition [11]; The K.U. Leuven Competition:
Advanced Black-Box Techniques for Nonlinear Modeling:
Theory and Applications [6]; The EUNITE competition [9].
After the competitions, their results have been published and
the time series have become widely used benchmarks. The goal
of these competitions is the prediction of the following values
of a given time series (30–100 values to predict). Unfortunately,
the long-term prediction of time series is a very difficult task,
more difficult than the short-term prediction.
Furthermore, after the publication of results, the real
values that had to be predicted are also published.
Thereafter it becomes
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