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Um Modelo Estocástico baseado em Redes Neurais

Luciana C. Dias CamposMarley Maria B. R. VellascoJuan G. Lazo Lazo

Thispaperpresentstheproposalofagenericmodelofstochasticpro- cess based on neural networks, called Neural Stochastic Process (NSP). The proposal model can be applied to problems involving phenomena of stochastic behavior and / or periodic features. The NSP's neural networks capture the behavior of the time series of these phenomena without requiring a priori in- formation about the series, and generates synthetic time series with the same probabilities as the historical series. The NSP model was applied to the treat- ment of monthly inflows series and the results indicated that the synthetic series generated exhibit statistical characteristics similar to historical series.

http://www.lbd.dcc.ufmg.br/colecoes/enia/2011/0018.pdf

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