Ensemble method based on ARIMA-FFNN for climate forecasting

Ensemble forecasting is one of relatively new modern methods for time series forecasting that employs averaging or stacking from the results of several methods. This paper focuses on the development of ensemble ARIMA-FFNN for climate forecasting by using averaging method. Two data about monthly rainfall in Indonesia, i.e. Wagir and Pujon region, are used as case study. Root mean of squares errors in training and testing datasets are used for evaluating the forecast accuracy. The results of ensemble ARIMA-FFNN are compared to one classical statistical method, i.e. individual ARIMA, and two modern statistical methods, namely individual FFNN and ensemble FFNN. The results show that ARIMA yields more accurate forecast in training datasets than other methods, whereas in testing datasets show that FFNN is the best method. Additionally, this conclusion in line with the results of M3 competition, i.e. modern methods or complex methods do not necessarily produce more accurate forecast than simpler one.