Taylor series approximation and unbiased GM(1,1) based hybrid statistical approach for forecasting daily gold price demands
Grey Systems: Theory and Application
ISSN: 2043-9377
Article publication date: 28 December 2018
Issue publication date: 28 January 2019
Abstract
Purpose
The time series analysis is an essential methodology which comprises the tools for analyzing the time series data to identify the meaningful characteristics for making future ad-judgments. The purpose of this paper is to propose a Taylor series approximation and unbiased GM(1,1) based new hybrid statistical approach (HTS_UGM(1,1)) for forecasting time series data under the poor, incomplete and uncertain information systems in a short period of time manner.
Design/methodology/approach
The gray forecasting is a dynamical methodology which can be classified into different categories based on their respective functions. The new proposed methodology is made up of three different methodologies including the first-order unbiased GM(1,1), Markov chain and Taylor approximation. In addition to that, two different traditional gray operational mechanisms include GM(1,1) and unbiased GM(1,1) used as the comparisons. The main objective of this study is to forecast gold price demands in a short-term manner based on the data which were taken from the Central Bank of Sri Lanka from October 2017 to December 2017.
Findings
The error analysis results suggested that the new proposed HTS_UGM(1,1) is highly accurate (less than 10 percent) with lowest RMSE error values in a one head as well as weakly forecasting’s than separate gray forecasting methodologies.
Originality/value
The findings suggested that the new proposed hybrid approach is more suitable and effective way for forecasting time series indices than separate time series forecasting methodologies in a short-term manner.
Keywords
Acknowledgements
This work was supported by the Sri Lanka Sabaragamuwa University of Research Grants (SUSL/RE/2017/04).
Citation
Rathnayaka, R.M.K.T. and Seneviratna, D.M.K.N. (2019), "Taylor series approximation and unbiased GM(1,1) based hybrid statistical approach for forecasting daily gold price demands", Grey Systems: Theory and Application, Vol. 9 No. 1, pp. 5-18. https://doi.org/10.1108/GS-08-2018-0032
Publisher
:Emerald Publishing Limited
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