Hybridization of Ensemble Kalman Filter and Non-linear Auto-regressive Neural Network for Financial Forecasting

• Main Authors: Said, Jadid Abdulkadir, Yong, S.P., Maran, Marimuthu, Lai, Fong Woon
• Other Authors: Rajendra , Prasath
• Format: Book Section
• Published: Springer 2014
• Online Access: http://eprints.utp.edu.my/11716/

Financial data is characterized as non-linear, chaotic in nature and volatile thus making the process of forecasting cumbersome. Therefore, a successful forecasting model must be able to capture longterm dependencies from the past chaotic data. In this study, a novel hybrid model, called UKF-NAR...