From: Analysis and forecasting of crude oil price based on the variable selection-LSTM integrated model
Types | Models | In-sample | Out-of-sample | ||
---|---|---|---|---|---|
DM | PT | DM | PT | ||
Time series | RW | – | 1.025 | – | 0.984 |
ARMA | −2.053 * | 2.178 * | −1.784 * | 1.946 | |
Without variables selection | MLP | −7.107 ** | 3.372 ** | −6.543 ** | 2.521 * |
RBFNN | −7.314 ** | 3.451 ** | −6.745 ** | 2.873 ** | |
GRNN | −7.943 ** | 3.233 ** | −7.153 ** | 3.084 ** | |
Elman | −8.017 ** | 5.484 ** | −7.491 ** | 4.141 ** | |
WNN | −7.462 ** | 4.177 ** | −6.897 ** | 3.052 ** | |
ELM | −7.516 ** | 4.635 ** | −6.983 ** | 3.314 ** | |
LSTM | −8.214 ** | 4.464 ** | −7.635 ** | 3.633 ** | |
GLNET | MLP | −8.425 ** | 3.951 ** | −7.849 ** | 4.687 ** |
RBFNN | −7.566 ** | 4.130 ** | −6.951 ** | 3.892 ** | |
GRNN | −7.847 ** | 4.478 ** | −7.283 ** | 4.174 ** | |
Elman | −8.362 ** | 5.632 ** | −7.719 ** | 3.952 ** | |
WNN | −8.891 ** | 4.655 ** | −8.206 ** | 5.613 ** | |
ELM | −7.195 ** | 4.553 ** | −6.618 ** | 2.370 ** | |
LSTM | −7.219 ** | 4.468 ** | −6.806 ** | 2.855 ** | |
Spike-slab Lasso | MLP | −7.873 ** | 4.021 ** | −7.194 ** | 3.324 ** |
RBFNN | −8.129 ** | 5.566 ** | −7.506 ** | 4.068 ** | |
GRNN | −7.502 ** | 5.171 ** | −6.904 ** | 3.281 ** | |
Elman | −7.604 ** | 5.044 ** | −6.816 ** | 3.693 ** | |
WNN | −8.138 ** | 4.936 ** | −7.728 ** | 3.586 ** | |
ELM | −8.608 ** | 6.052 ** | −7.893 ** | 5.024 ** | |
LSTM | −7.672 ** | 6.843 ** | −7.015 ** | 4.338 ** | |
Bayesian model averaging | MLP | −7.748 ** | 5.167 ** | −7.296 ** | 4.844 ** |
RBFNN | −8.424 ** | 5.023 ** | −7.693 ** | 4.463 ** | |
GRNN | −8.795 ** | 6.431 ** | −8.334 ** | 5.572 ** | |
Elman | −7.796 ** | 6.082 ** | −7.258 ** | 5.185 ** | |
WNN | −8.013 ** | 7.690 ** | −7.374 ** | 5.641 ** | |
ELM | −8.507 ** | 7.724 ** | −7.867 ** | 6.030 ** | |
LSTM | −9.304 ** | 8.035 ** | −8.746 ** | 6.544 ** |