IJMEMES logo

International Journal of Mathematical, Engineering and Management Sciences

ISSN: 2455-7749


Elastic Net Regression and Empirical Mode Decomposition for Enhancing the Accuracy of the Model Selection

Elastic Net Regression and Empirical Mode Decomposition for Enhancing the Accuracy of the Model Selection

Abdullah S. Al-Jawarneh
School of Mathematical Sciences, Universiti Sains Malaysia, Pulau Pinang, Malaysia.

Mohd. Tahir Ismail
School of Mathematical Sciences, Universiti Sains Malaysia, Pulau Pinang, Malaysia.

Ahmad M. Awajan
Faculty of Science, Al-Hussein Bin Talal University, Ma’an, Jordan.

DOI https://doi.org/10.33889/IJMEMS.2021.6.2.034

Received on June 21, 2020
  ;
Accepted on October 04, 2020

Abstract

Elastic net (ELNET) regression is a hybrid statistical technique used for regularizing and selecting necessary predictor variables that have a strong effect on the response variable and deal with multicollinearity problem when it exists between the predictor variables. The empirical mode decomposition (EMD) algorithm is used to decompose the nonstationary and nonlinear dataset into a finite set of orthogonal intrinsic mode function components and one residual component. This study mainly aims to apply the proposed ELNET-EMD method to determine the effect of the decomposition components of multivariate time-series predictors on the response variable and tackle the multicollinearity between the decomposition components to enhance the prediction accuracy for building a fitting model. A numerical experiment and a real data application are applied. Results show that the proposed ELNET-EMD method outperforms other existing methods by capable of identifying the decomposition components that have the most significance on the response variable despite the high correlation between the decomposition components and by improving the prediction accuracy.

Keywords- Empirical mode decomposition, Elastic net regression, LASSO regression, Multicollinearity, Ridge regression.

Citation

Al-Jawarneh, A. S., Ismail, M. T., & Awajan, A. M (2021). Elastic Net Regression and Empirical Mode Decomposition for Enhancing the Accuracy of the Model Selection. International Journal of Mathematical, Engineering and Management Sciences, 6(2), 564-583. https://doi.org/10.33889/IJMEMS.2021.6.2.034.