An ensemble approach based on transformation functions for natural gas price forecasting considering optimal time delays

Abstract

Natural gas, known as the cleanest fossil fuel, plays a vital role in the economies of producing and consuming countries. Understanding and tracking the drivers of natural gas prices are of significant interest to the many economic sectors. Hence, accurately forecasting the price is very important not only for providing an effective factor for implementing energy policy but also for playing an extremely significant role in government strategic planning. The purpose of this study is to provide an approach to forecast the natural gas price. First, optimal time delays are identified by a new approach based on the Euclidean Distance between input and target vectors. Then, wavelet decomposition has been implemented to reduce noise. Moreover, fuzzy transform with different membership functions has been used for modeling uncertainty in time series. The wavelet decomposition and fuzzy transform have been integrated into the preprocessing stage. An ensemble method is used for integrating the outputs of various neural networks. The results depict that the proposed preprocessing methods used in this paper cause to improve the accuracy of natural gas price forecasting and consider uncertainty in time series.

Keywords

• Time series forecasting
• Ensemble artificial neural networks
• Machine learning
• Natural gas price
• Optimal time delays