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.

ModelEEMD-R-ARIMAEEMD-SD-ANNEEMD-SD-ARIMAEEMD-AMI-ANNEEMD-AMI-ARIMAEEMD-ANNEEMD-ARIMAANNARIMA

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)

Significant at 1%.