A hybrid group method of data handling with discrete wavelet transform for GDP forecasting

Abstract

This study is proposed the application of hybridization model using Group Method of Data Handling (GMDH) and Discrete Wavelet Transform (DWT) in time series forecasting. The objective of this paper is to examine the flexibility of the hybridization GMDH in time series forecasting by using Gross Domestic Product (GDP). A time series data set is used in this study to demonstrate the effectiveness of the forecasting model. This data are utilized to forecast through an application aimed to handle real life time series. This experiment compares the performances of a hybrid model and a single model of Wavelet-Linear Regression (WR), Artificial Neural Network (ANN), and conventional GMDH. It is shown that the proposed model can provide a promising alternative technique in GDP forecasting.