Scholarlink

<p>Crude oil prices (COP) profoundly influence global economic stability, with fluctuations reverberating across various sectors. Accurate forecasting of COP is indispensable for governments, policymakers, and stakeholders to make well-informed decisions and effectively mitigate risks. The decomposition-based hybrid models have been showing promising COP forecasting accuracy than other time series forecasting methods. Despite this fact, no systematic study has been conducted to evaluate the true potential of different decomposition-based hybrid methods employing different forecasting models to forecast the COP. Therefore, a hybrid modeling framework is developed by combining efficient decomposition techniques, namely empirical mode decomposition (EMD), ensemble EMD (EEMD), complete EEMD with adaptive noise (CEEMDAN), and variational mode decomposition (VMD) with seven statistical models, fourteen machine learning (ML) models, and six deep learning (DL) models. Further, a systematic study is conducted on the resulting decomposition-based hybrid models to find the best hybrid model for COP forecasting. Three distinct train-test data splits are employed to ensure a reliable evaluation of the models using four performance metrics. Extensive statistical analysis is conducted to identify the optimal combination of the decomposition technique and forecasting model for precise COP prediction. The results demonstrate that the proposed decomposition-based hybrid model employing VMD and Huber Regression is statistically the best method among all alternatives to forecast monthly COP. The proposed hybrid method VMD-Huber Regression improves the root mean square error (RMSE) by 21% than CEEMDAN-ARIMA, 58.31% than EEMD-Theta, 13.18% than EMD-Random Walk, and 49.44% than VMD-TBATS hybrid methods in 60–40 Train-Test split ratio.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Decomposition-based hybrid methods employing statistical, machine learning, and deep learning models for crude oil price forecasting

  • 期刊论文

  • 发表日期：

    2025年4月4日

查看全文
  • Sourav Kumar Purohit,
  • Sibarama Panigrahi

摘要

Crude oil prices (COP) profoundly influence global economic stability, with fluctuations reverberating across various sectors. Accurate forecasting of COP is indispensable for governments, policymakers, and stakeholders to make well-informed decisions and effectively mitigate risks. The decomposition-based hybrid models have been showing promising COP forecasting accuracy than other time series forecasting methods. Despite this fact, no systematic study has been conducted to evaluate the true potential of different decomposition-based hybrid methods employing different forecasting models to forecast the COP. Therefore, a hybrid modeling framework is developed by combining efficient decomposition techniques, namely empirical mode decomposition (EMD), ensemble EMD (EEMD), complete EEMD with adaptive noise (CEEMDAN), and variational mode decomposition (VMD) with seven statistical models, fourteen machine learning (ML) models, and six deep learning (DL) models. Further, a systematic study is conducted on the resulting decomposition-based hybrid models to find the best hybrid model for COP forecasting. Three distinct train-test data splits are employed to ensure a reliable evaluation of the models using four performance metrics. Extensive statistical analysis is conducted to identify the optimal combination of the decomposition technique and forecasting model for precise COP prediction. The results demonstrate that the proposed decomposition-based hybrid model employing VMD and Huber Regression is statistically the best method among all alternatives to forecast monthly COP. The proposed hybrid method VMD-Huber Regression improves the root mean square error (RMSE) by 21% than CEEMDAN-ARIMA, 58.31% than EEMD-Theta, 13.18% than EMD-Random Walk, and 49.44% than VMD-TBATS hybrid methods in 60–40 Train-Test split ratio.