How forecast One step ahead (N+1) with NARNET?

Technical Source
2 min readJul 29, 2021

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Hello people! Please, can you help me?

I want predict One Step beyond original data using NARNET. Original data has 62000 steps. Want know the 62001.

But what I get for prediction is the exact same existing steps in training data. (Same N steps, same curves)

Why network can’t predict next future step beyond original data end? I used Removedelay. (Want the N+1)

Attached are: Original data (EURUSD), performance stats. Bellow, the code used.

% Solve an Autoregression Time-Series Problem with a NAR Neural Network
% Script generated by Neural Time Series app
% This script assumes this variable is defined:
% EURUSD - feedback time series.
T = tonndata(EURUSD,true,false); % Choose a Training Function
trainFcn = 'trainbr'; % Bayesian Regularization backpropagation.
% Create a Nonlinear Autoregressive Network
feedbackDelays = 1:1;
hiddenLayerSize = 30;
net = narnet(feedbackDelays,hiddenLayerSize,'open',trainFcn);
% Choose Feedback Pre/Post-Processing Functions
net.input.processFcns = {'removeconstantrows','mapminmax'};
net.trainParam.min_grad = 3e-8;
% Prepare the Data for Training and Simulation
[x,xi,ai,t] = preparets(net,{},{},T);
% Setup Division of Data for Training, Validation, Testing
net.divideFcn = 'dividetrain';
net.divideMode = 'time'; % Divide up every sample
% Choose a Performance Function
net.performFcn = 'mse'; % Mean Squared Error
% Choose Plot Functions
net.plotFcns = {'plotperform','plottrainstate', 'ploterrhist', ...
'plotregression', 'plotresponse', 'ploterrcorr', 'plotinerrcorr'};
% Train the Network
[net,tr] = train(net,x,t,xi,ai);
% Test the Network
y = net(x,xi,ai);
e = gsubtract(t,y);
performance = perform(net,t,y)
% Step-Ahead Prediction Network
% For some applications it helps to get the prediction a timestep early.
% The original network returns predicted y(t+1) at the same time it is
% given y(t+1). For some applications such as decision making, it would
% help to have predicted y(t+1) once y(t) is available, but before the
% actual y(t+1) occurs. The network can be made to return its output a
% timestep early by removing one delay so that its minimal tap delay is now
% 0 instead of 1. The new network returns the same outputs as the original
% network, but outputs are shifted left one timestep.
nets = removedelay(net);
nets.name = [net.name ' - Predict One Step Ahead'];
view(nets)
[xs,xis,ais,ts] = preparets(nets,{},{},T);
ys = nets(xs,xis,ais);
stepAheadPerformance = perform(nets,ts,ys)

ANSWER

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Do not use the REMOVEDELAY command

It is not necessary and it is too confusing.

If you need detailed help, use one of the MATLAB example sets

help nndatasets

and/or

doc nndatasets.

Almost anything you need to do is in a former post. Try searching in BOTH the NEWSGROUP and ANSWERS using

SEE COMPLETE ANSWER CLICK THE LINK

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Technical Source
Technical Source

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