This example concentrates on a typical regression time series problem.

Note: The results shown in this example may be slightly different from your analysis because, for example, the neural network algorithms use random number generators for fixing the initial value of the weights (starting points) of the neural networks, which often result in obtaining slightly different (local minima) solutions each time you run the analysis. Also note that changing the seed for the random number generator used to create the train, test, and validation samples can change your results.

Data. This example uses the Series_G.sta data file. The data are monthly passenger totals (measured in thousands) in international air travel, for twelve consecutive years: 1949-1960 (see Box and Jenkins, 1976, page 531, "Series G"). Part of the Series_G.sta data file is shown below.

The first thing you will notice is that the data set includes only a single variable. We will be using this both as the input and output of the neural network (but, of course, at different time steps). In STATISTICA Automated Neural Networks (SANN), a variable is considered as both input and target; no corresponding input is selected.

Specifying the analysis. Open the Series_G.sta data file and start SANN:

Ribbon bar. Select the Home tab. In the File group, click the Open arrow and select Open Examples to display the Open a STATISTICA Data File dialog box. Open the data file, which is located in the Datasets folder. Then, select the Statistics tab. In the Advanced/Multivariate group, click Neural Nets to display the SANN - New Analysis/Deployment Startup Panel. Or, select the Data Mining tab. In the Learning group, click Neural Networks to display the SANN - New Analysis/Deployment Startup Panel.

Classic menus. From the File menu, select Open Examples to display the Open a STATISTICA Data File dialog box. Open the data file, which is located in the Datasets folder. Then, from the Statistics menu or the Data Mining menu, select Automated Neural Networks to display the SANN - New Analysis/Deployment Startup Panel.

In the New analysis list box, select Time series (regression).

Click the OK button to display the SANN - Data selection dialog box.

On the Quick tab, click the Variables button. A standard variable selection dialog box will be displayed, where you specify the variables for the analysis.

As mentioned above, we will be using the variable SERIES_G as both the target and input for our neural network. To do this, we need only specify the variable once, as a continuous target, while no inputs are selected.

Select SERIES_G in the Continuous targets column, and then click the OK button. The variable selection dialog box will close, and you will return to the SANN - Data selection dialog box, which will look as shown below.

In the Strategy for creating predictive models group box, there are three strategies available for time series (regression): Automated network search (ANS), Custom neural networks (CNN), and Subsampling (random, bootstrap). Select ANS.

Next, select the Sampling (CNN and ANS) tab.

Note on sampling.
As with other analysis types in SANN,
you are able to divide the data set into sub samples that can be used
for training the data, testing the networks during training and validating
the networks after training is complete. You can let SANN
create these subsets (using the Random
option) or you can assign cases to subsets yourself, using a sample identifier
variable

Given the nature of time series data (i.e., that the data represent a sequence of measurements taken at successive points in time), you might wonder how the data can be partitioned into subsets without disrupting the very time pattern that we seek to model. SANN does not actually rearrange the data into subsets. Instead, the cases are left in the current order so that the time series pattern can be identified. "Splitting" the data into their respective subsets occurs after the predictions have been made.

For example, consider a very short data set with 5 cases that have been randomly assigned to subsets as shown below:

Case 1 - Train

Case 2 - Train

Case 3 - Test

Case 4 - Train

Case 5 - Test

In time series analyses with, for example, lag 1, the actual time series data set that will be used to train and test the neural network model will have two cases for training and two cases for testing. Since Case 1 has no prior entries, it has no input and therefore cannot be used at all. However, Case 1 will serve as an input to Case 2, which will play the role of a target. This will form the first training case in the training sample, which consists of {Case 1, Case 2} as an input-target pair. Similarly, Case 2 will be used as an input to Case 3, and the result is {Case2, Case 3}, which will be used for testing, and so on.

For this example, let’s leave the default settings as they are.

Now, select the Time series tab.

For time series problems, you need to make an additional design decision - the number of time series steps to use as input to the network. For some problems, determining the correct number of input steps can require a certain amount of trial-and-error. However, if the problem contains a natural cycle period (e.g., the Series_G.sta data file contains monthly sales figures, so there is a definite length – 12-month period – in the data), you should try specifying that cycle or an integral multiple of it.

In this case, we will specify a period of 12, as this is the natural cycle of the time series. To do this, enter a 12 in the Number of time steps used as inputs field.

Training the networks. Click the OK button in the SANN - Data Selection dialog box to display SANN - Automated Network Search (ANS) dialog box. This dialog box contains the same tabs that are available during regression analysis (Quick, MLP activation functions, Weight decay, and Initialization).

You can configure the options on these tabs according to the needs of your experiment. For example, if you have prior knowledge that MLP neural networks are best suited for modeling your data, it is reasonable to exclude RBF networks for the analysis. You can do so by clearing the RBF check box in the Network types group box of the Quick tab. Similarly, if you have reason to believe that the search range for network complexity should be widened, you can use the Min. hidden units and Max. hidden units options to satisfy this requirement. Alternatively, if you want to specify the network complexity, you can do so by setting Min. hidden units = Max hidden units. Note that the Cross entropy check box is not available (in the Error function group box) since this type of error is used only in classification problems.

Note that the more networks you create, the more chance you have for finding the best solution. Usually 20 or so networks are sufficient, but this may depend on the nature of the problem at hand. You can also change the number of networks to retain, but usually retaining 5 of the best networks is sufficient. In the Results dialog box, you can use these networks to form ensembles.

Since in most analyses the nature of the input-target relationship is often not well understood, it is advisable that you use as many activation function types as possible. This will help the ANS search for the best network activation function more thoroughly.

Reviewing the results. In the SANN - Automated Network Search (ANS) dialog box, click the Train button. SANN will train and retain 5 networks. When training is complete, the SANN - Results dialog box will be displayed. Select the Time Series tab.

With the options on this tab, you can review a multiple scatterplot of the target (Series_G) vs. the predictions for the five models, and you can generate time series projections. You can also view the time series data the way they are presented to the network.

Let's review the time series predictions.

Time series predictions. The time series predictions graph is a line graph that relates the target to the outputs (predictions of the network). When a network has closely modeled the existing data, we expect to find a strong linear relationship between the target and output of the network. When this plot results in a line nowhere close to the target values, it indicates that the networks have not adequately captured the pattern in the target. If this happens, you should try specifying a different Number of time steps used as inputs on the Time series tab of the SANN - Data Selection dialog box.

On the Time series tab, click the Time series graph button to create a line plot for the predictions of the networks against the time steps.

You can use this graph to visually verify how well the networks predict the time series data. As you see, the degree of fit is well, which yet again is an indication of the time series dependency in the data. Thus, for our example, all the networks seem to model the data reasonably well. Note that the first 12 cases of the graph have no predictions. That is because the number of lags used as inputs was 12.

Time series projections. When the target is projected into itself (i.e., there are no inputs) SANN also provides options for making time series projections. In SANN, neural networks for time series problems perform one-step-ahead prediction - they predict the next time step from a series of previous time steps. By dropping the oldest of the original input points, adding the newly predicted value, and rerunning the network, a prediction can be made a further step ahead. This process can be repeated to generate an entire time series of predictions. Note that this functionality is not available when one or more inputs are selected.

The options in the Projection group box enable you to generate a graph or spreadsheet showing the results of projecting ahead a given number of time steps. SANN can start the time series projection either from a pattern extracted from the current data set or from a user-specified pattern. We will use the default, which is to start at the first available pattern in the data set (so we will be able to compare the prediction with the entire data set).

As with any prediction, errors will rapidly accumulate, and such multiple-step projections can only be trusted if the network has very high predictive accuracy. Still, you should not attempt to make too many projections ahead since the predictive accuracy of the network rapidly decreases with the projection length.

The only parameters we need to set are the Projection length and Case (starts from). Our time series has only 144 cases, of which 12 are effectively removed by pre-processing (predictions cannot be made for the first twelve points, as they do not have sufficient preceding points to make the prediction), so the maximum available data to compare with is 132 steps. However, it is quite permissible to project beyond the end of the available data: we will then see the predicted value projected beyond the end of the data set, although we will not have a standard of comparison beyond that point.

As an example, you can create a projection graph with length 200 starting from case 12 by setting the value of the Projection length and Case (starts from) to 200 and 12 respectively. Then, click the Projection graph button.

Note that the further away from case 144, the more the predictions of the networks vary from the normal oscillating pattern that the original data set exhibited. In fact, the outputs (predictions) of some of the networks lose variability until they become straight lines.

Next, set the projection length to 300 and create another graph by clicking the Projection graph button.

The results may seem somewhat disappointing - the prediction saturates after a time. In any event, it might actually be considered irrelevant to predict too far ahead - figures for the next year or two may be quite adequate, or the reliability of more distant predictions may be questionable. Nonetheless, this example does demonstrate a restriction of neural networks if they are blindly applied in circumstances where they will be required to extrapolate beyond known data.

Note: As with an ordinary regression problem, you can carry out more analyses for time series regression using the rest of the options available on the Results dialog. See the regression step-by-step example for more details.