  Time series modeling and forecasting has fundamental importance to various
practical domains. Thus a lot of active research works is going on in this
subject during several years. Many important models have been proposed in
literature for improving the accuracy and effectiveness of time series
forecasting. The aim of this dissertation work is to present a concise
description of some popular time series forecasting models used in practice,
with their salient features. In this thesis, we have described three important
classes of time series models, viz. the stochastic, neural networks and SVM
based models, together with their inherent forecasting strengths and
weaknesses. We have also discussed about the basic issues related to time
series modeling, such as stationarity, parsimony, overfitting, etc. Our
discussion about different time series models is supported by giving the
experimental forecast results, performed on six real time series datasets.
While fitting a model to a dataset, special care is taken to select the most
parsimonious one. To evaluate forecast accuracy as well as to compare among
different models fitted to a time series, we have used the five performance
measures, viz. MSE, MAD, RMSE, MAPE and Theil's U-statistics. For each of the
six datasets, we have shown the obtained forecast diagram which graphically
depicts the closeness between the original and forecasted observations. To have
authenticity as well as clarity in our discussion about time series modeling
and forecasting, we have taken the help of various published research works
from reputed journals and some standard books.

Machine Learning;Machine Learning