eemdLSTM {EEMDlstm}

Ensemble Empirical Mode Decomposition (EEMD) Based Long Short Term (LSTM) Model

Description

The eemdLSTM function computes forecasted value with different forecasting evaluation criteria for EEMD based LSTM model.

Usage

eemdLSTM(data, spl=0.8, num.IMFs=emd_num_imfs(length(data)),
s.num=4L, num.sift=50L, ensem.size=250L, noise.st=0.2,lag = 4,
LU = 2, Epochs = 2)

Arguments

data

Input univariate time series (ts) data.

spl

Index of the split point and separates the data into the training and testing datasets.

num.IMFs

Number of Intrinsic Mode Function (IMF) for input series.

s.num

Integer. Use the S number stopping criterion for the EMD procedure with the given values of S. That is, iterate until the number of extrema and zero crossings in the signal differ at most by one, and stay the same for S consecutive iterations.

num.sift

Number of siftings to find out IMFs.

ensem.size

Number of copies of the input signal to use as the ensemble.

noise.st

Standard deviation of the Gaussian random numbers used as additional noise. This value is relative to the standard deviation of the input series.

lag

Lag of time series data.

LU

Number of unit in GRU layer.

Epochs

Number of epochs.

Details

A time series is decomposed by EEMD into a set of intrinsic mode functions (IMFs) and a residual, which are modelled and predicted independently using LSTM models. Finally, the ensemble output for the price series is produced by combining the forecasts of all IMFs and residuals. EEMD overcomes the limitation of the mode mixing and end effect problems of the empirical mode decomposition (EMD).

Value

TotalIMF

Total number of IMFs.

AllIMF

List of all IMFs with residual for input series.

data_test

Testing set used to measure the out of sample performance.

AllIMF_forecast

Forecasted value of all individual IMF.

FinalEEMDLSTM_forecast

Final forecasted value of the EEMD based LSTM model. It is obtained by combining the forecasted value of all individual IMF.

MAE_EEMDLSTM

Mean Absolute Error (MAE) for EEMD based LSTM model.

MAPE_EEMDLSTM

Mean Absolute Percentage Error (MAPE) for EEMD based LSTM model.

rmse_EEMDLSTM

Root Mean Square Error (RMSE) for EEMD based LSTM model.

AllIMF_plots

Decomposed IMFs and residual plot.

plot_testset

Test set forecasted vs actual value plot.

References

Choudhary, K., Jha, G.K., Kumar, R.R. and Mishra, D.C. (2019) Agricultural commodity price analysis using ensemble empirical mode decomposition: A case study of daily potato price series. Indian journal of agricultural sciences, 89(5), 882–886.

Wu, Z. and Huang, N.E. (2009) Ensemble empirical mode decomposition: a noise assisted data analysis method. Advances in adaptive data analysis, 1(1), 1–41.

See Also

emdLSTM

Examples

data("Data_Maize")
eemdLSTM(Data_Maize)