Costa, Alexandre Fructuoso da [UNESP]Crepaldi, Antonio Fernando [UNESP]2014-12-032014-12-032014-07-20Neurocomputing. Amsterdam: Elsevier Science Bv, v. 136, p. 281-288, 2014.0925-2312http://hdl.handle.net/11449/113544The Box-Cox transformation is a technique mostly utilized to turn the probabilistic distribution of a time series data into approximately normal. And this helps statistical and neural models to perform more accurate forecastings. However, it introduces a bias when the reversion of the transformation is conducted with the predicted data. The statistical methods to perform a bias-free reversion require, necessarily, the assumption of Gaussianity of the transformed data distribution, which is a rare event in real-world time series. So, the aim of this study was to provide an effective method of removing the bias when the reversion of the Box-Cox transformation is executed. Thus, the developed method is based on a focused time lagged feedforward neural network, which does not require any assumption about the transformed data distribution. Therefore, to evaluate the performance of the proposed method, numerical simulations were conducted and the Mean Absolute Percentage Error, the Theil Inequality Index and the Signal-to-Noise ratio of 20-step-ahead forecasts of 40 time series were compared, and the results obtained indicate that the proposed reversion method is valid and justifies new studies. (C) 2014 Elsevier B.V. All rights reserved.281-288engBox-Cox transformationNeural networksTime series forecastingFinancial marketsArtigo10.1016/j.neucom.2014.01.004WOS:000335708800028Acesso restrito9211187637499715