期刊
APPLIED SOFT COMPUTING
卷 113, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.asoc.2021.108032
关键词
Crude oil price forecasting; Price prediction; Decomposition and ensemble; Variational mode decomposition (VMD); Sparse Bayesian learning (SBL)
资金
- Ministry of Education of Humanities and Social Science Project, China [19YJAZH047]
- Scientific Research Fund of Sichuan Provincial Education Department, China [17ZB0433]
- National Natural Science Foundation of China, China [61771087]
The paper introduces a novel approach VMD-RSBL that combines VMD and RSBL for forecasting crude oil prices. By decomposing the crude oil price series into components and predicting each component individually using predictors built on random samples and random lags, the final forecasted prices are obtained by aggregating the predictions of all components. Extensive experiments show that VMD-RSBL outperforms many state-of-the-art schemes in terms of several evaluation indicators.
Accurately forecasting crude oil prices has drawn much attention from researchers, investors, producers, and consumers. However, the complexity of crude oil prices makes it a very challenging task. To this end, this paper presents a novel scheme by integrating variational mode decomposition (VMD) and random sparse Bayesian learning (RSBL, SBL-based prediction with random lags and random samples), namely VMD-RSBL, for the forecasting task. The proposed VMD-RSBL contains three stages. First, crude oil price series is decomposed into a couple of components by VMD. The decomposed components exhibit simpler characteristics than the raw prices and hence are easy to forecast. Second, RSBL is employed to predict each component individually. Specifically, for each component, the proposed scheme builds a group of predictors with SBL on different subsets of samples (random samples) and random lags, and then the average of all the predictors is taken as the forecasting result of the individual component. At last, the forecasting results of all the components are added as the final forecasting prices. We perform extensive experiments, and the results demonstrate that the proposed VMD-RSBL significantly outperforms many state-of-the-art schemes in terms of several evaluation indicators. (C) 2021 Elsevier B.V. All rights reserved.
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