CEEMDAN-Based Hybrid Machine Learning Models for Time Series Forecasting Using MARS Algorithm and PSO-Optimization

Accurate prediction of time series data is crucial for informed decision-making and economic development. However, predicting noisy time series data is a challenging task due to their irregularity and complex trends. In the past, several attempts have been made to model complex time series data using both stochastic and machine learning techniques. This study proposed a CEEMDAN-based hybrid machine learning algorithm combined with stochastic models to capture the volatility of weekly potato price in major markets of India. The smooth decomposed component is predicted using stochastic models, while the coarser components, selected using MARS, are fitted into two different machine learning algorithms. The final predictions for the original series are obtained using optimization techniques such as PSO. The performance of the proposed algorithm is measured using various metrics, and it is found that the optimization-based combination of models outperforms the individual counterparts. Overall, this study presents a promising approach to predict price series using a hybrid model combining stochastic and machine learning techniques, with feature selection and optimization techniques for improved performance.