Research Article
A New Approach for Reconstruction of IMFs of Decomposition and Ensemble Model for Forecasting Crude Oil Prices
Table 11
DM test results of Brent and WTI daily and weekly data.
| Model | EEMD-R-ARIMA | EEMD-SD-ANN | EEMD-SD-ARIMA | EEMD-AMI-ANN | EEMD-AMI-ARIMA | EEMD-ANN | EEMD-ARIMA | ANN | ARIMA |
| Brent daily | | | | | | | | | | EEMD-R-ANN | −1.38 (0.17) | −21.14 (<0.01) | −19.12 (<0.01) | −19.20 (<0.01) | −17.39 (<0.01) | −14.21 (<0.01) | −14.01 (<0.01) | −19.1 (<0.01) | −18.60 (<0.01) |
| WTI daily | | | | | | | | | | EEMD-R-ANN | −1.28 (0.20) | −17.61 (<0.01) | −15.98 (<0.01) | −19.10 (<0.01) | −18.01 (<0.01) | −7.39 (<0.01) | −6.81 (<0.01) | −16.2 (<0.01) | −14.91 (<0.01) |
| Brent weekly | | | | | | | | | | EEMD-R-ANN | −1.05 (0.29) | −12.39 (<0.01) | −11.89 (<0.01) | −10.86 (<0.01) | −9.91 (<0.01) | −5.44 (<0.01) | −4.98 (<0.01) | −9.14 (<0.01) | −8.90 (<0.01) |
| WTI weekly | | | | | | | | | | EEMD-R-ANN | −1.01 (0.31) | −11.44 (<0.01) | −10.01 (<0.01) | −9.33 (<0.01) | −8.71 (<0.01) | −4.67 (<0.01) | −4.01 (<0.01) | −8.24 (<0.01) | −7.88 (<0.01) |
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