Goryn asked . 2021-07-29

How to forecast with Neural Network?

lag = 50;
Xu = windowize(X,1:lag+1);  %Re-arrange the data points into a Hankel matrix
Xtra = Xu(:,1:lag);         %input time series
Ytra = Xu(:,end);           %feedback time series

Then I train neural net with this code:

inputSeries = tonndata(Xtra,false,false);
targetSeries = tonndata(Ytra,false,false);

% Create a Nonlinear Autoregressive Network with External Input
inputDelays = 1:2;
feedbackDelays = 1:2;
hiddenLayerSize = 10;
net = narxnet(inputDelays,feedbackDelays,hiddenLayerSize);

% Prepare the Data for Training and Simulation
[inputs,inputStates,layerStates,targets] = preparets(net,inputSeries,{},targetSeries);

% Setup Division of Data for Training, Validation, Testing
net.divideParam.trainRatio = 70/100;
net.divideParam.valRatio = 15/100;
net.divideParam.testRatio = 15/100;

% Train the Network
[net,tr] = train(net,inputs,targets,inputStates,layerStates);

% Test the Network
outputs = net(inputs,inputStates,layerStates);
errors = gsubtract(targets,outputs);
performance = perform(net,targets,outputs)

And then I would like to predict next 100 points of my initial time-serie X, what should I do?

neural network , prediction , forecasting , ok