An intelligent perturbative approach for the time series forecasting problem

In this paper it is introduced a new perturbative approach for time series forecasting. The model uses the error of the series, that is the difference between real value of the series and the output of a predictive method, to improve the series forecasting. The methodology proposed is inspired in the Perturbation Theory, that consists in a set of approximation schemes used to describe a complicated problem in terms of simpler ones. For an experimental investigation, this theory, is combined with the TAEF method, that has interesting results when compared with the literature. This combination is called P-TAEF (Perturbative TAEF). Its results over some time series are discussed and compared with previous results found in the literature. It was used several performance measures that showed the robustness of the perturbative approach.