The Optimal Combination Forecasting Based on ARIMA, VAR and SSM

In order to overcome the defects of a single time series forecasting model and to improve the prediction accuracy, this paper proposes an improved optimal combination model with Artificial Bee Colony algorithm used to solve the optimal weight coefficient automatically. Taking the Manufacturers' Shipments as an example to analyze, we use ARIMA、VAR and SSM to forecast the shipments respectively. Based on these three models,we construct the optimal combination forecasting model. By inspection, it is superior to the other three models in accuracy.