Hybrid modeling approaches for agricultural commodity prices using CEEMDAN and time delay neural networks
Improving the forecasting accuracy of agricultural commodity prices is critical for many stakeholders namely, farmers, traders, exporters, governments, and all other partners in the price channel, to evade risks and enable appropriate policy interventions. However, the traditional mono-scale smoothing techniques often fail to capture the non-stationary and non-linear features due to their multifarious structure. This study has proposed a CEEMDAN (Complete Ensemble Empirical Mode Decomposition with Adaptive Noise)-TDNN (Time Delay Neural Network) model for forecasting non-linear, non-stationary agricultural price series. This study has evaluated its suitability in comparison with the other three major EMD (Empirical Mode Decomposition) variants (EMD, Ensemble EMD and Complementary Ensemble EMD) and the benchmark (Autoregressive Integrated Moving Average, Non-linear Support Vector Regression, Gradient Boosting Machine, Random Forest and TDNN) models using monthly wholesale prices of major oilseed crops in India. Outcomes from this investigation reflect that the CEEMDAN-TDNN hybrid models have outperformed all other forecasting models on the basis of evaluation metrics under consideration. For the proposed model, an average improvement of RMSE (Root Mean Square Error), Relative RMSE and MAPE (Mean Absolute Percentage Error) values has been observed to be 20.04%, 19.94% and 27.80%, respectively over the other EMD variant-based counterparts and 57.66%, 48.37% and 62.37%, respectively over the other benchmark stochastic and machine learning models. The CEEMD-TDNN and CEEMDAN-TDNN models have demonstrated superior performance in predicting the directional changes of monthly price series compared to other models. Additionally, the accuracy of forecasts generated by all models has been assessed using the Diebold-Mariano test, the Friedman test, and the Taylor diagram. The results confirm that the proposed hybrid model has outperformed the alternative models, providing a distinct advantage.
Authors
- Moumita Paul (ORCID: https://orcid.org/0000-0002-0503-9583)
- Krishna Kumar Yadav (ORCID: https://orcid.org/0000-0002-4228-2726)
- Lamjed Mansour (ORCID: https://orcid.org/0000-0002-9415-9383)
- Atish Sagar (ORCID: https://orcid.org/0000-0003-3597-385X)
- Dinesh Kumar Vishwakarma (ORCID: https://orcid.org/0000-0002-2421-6995)
- Özgür Kişi (ORCID: https://orcid.org/0000-0001-7847-5872)
- Bikramjeet Ghose
- Pramit Pandit
Institutions
- Bidhan Chandra Krishi Viswavidyalaya (IN)
- Ilia State University (GE)
- Korea University (KR)
- Thi Qar University (IQ)
- Birsa Agricultural University (IN)
- Govind Ballabh Pant University of Agriculture and Technology (IN)
- King Saud University (SA)
- Technical University of Applied Sciences Lübeck (DE)
- University of Lübeck (DE)
- Parul University (IN)
Publication Details
- Journal
- Scientific Reports
- Published
- 2024-11-04
- DOI
- https://doi.org/10.1038/s41598-024-74503-4
- Citations
- 13
- Primary Topic
- Stock Market Forecasting Methods
- Type
- article
- Field-Weighted Citation Impact
- 6.38