Lag selection for time series forecasting using Particle Swarm Optimization

The time series forecasting is an useful application for many areas of knowledge such as biology, economics, climatology, biology, among others. A very important step for time series prediction is the correct selection of the past observations (lags). This paper uses a new algorithm based in swarm of particles to feature selection on time series, the algorithm used was Frankenstein's Particle Swarm Optimization (FPSO). Many forms of filters and wrappers were proposed to feature selection, but these approaches have their limitations in relation to properties of the data set, such as size and whether they are linear or not. Optimization algorithms, such as FPSO, make no assumption about the data and converge faster. Hence, the FPSO may to find a good set of lags for time series forecasting and produce most accurate forecastings. Two prediction models were used: Multilayer Perceptron neural network (MLP) and Support Vector Regression (SVR). The results show that the approach improved previous results and that the forecasting using SVR produced best results, moreover its showed that the feature selection with FPSO was better than the features selection with original Particle Swarm Optimization.